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James Alpha Funds Trust

Filed: 9 May 22, 4:24pm

united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

 

Investment Company Act file number      811-23611

 

James Alpha Funds Trust
(Exact name of registrant as specified in charter)

 

515 Madison Avenue, 24th Floor, New York, NY 10022 
(Address of principal executive offices) (Zip code)

 

Emile R. Molineaux, Gemini Fund Services, LLC
80 Arkay Drive, Suite 110, Hauppauge, NY 11788
(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 888-814-8180

 

Date of fiscal year end: 8/31

 

Date of reporting period: 2/28/2022

 

Item 1. Reports to Stockholders.

 

(EASTERLY FUND LOGO)
 
JAMES ALPHA FUNDS TRUST d/b/a EASTERLY FUNDS TRUST
 
 
 
 
CLASS A, C, I AND R6 SHARES
 
 
 
 
 
 
 
SEMI-ANNUAL REPORT
 
FEBRUARY 28, 2022
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND TO OTHERS WHO
HAVE RECEIVED A COPY OF THE PROSPECTUS.
 
 
 
 

 

 

Easterly Global Macro Fund
PORTFOLIO REVIEW (Unaudited)
February 28, 2022
 

The Fund’s performance figures* for the six months ended February 28, 2022, as compared to its benchmarks:

 

   AnnualizedAnnualizedAnnualizedAnnualized
 Six MonthsOne YearFive YearTen YearSince Inception (a)Since Inception (b)
Class I(3.32)%(0.40)%2.48%0.65%0.87%n/a
Class R6(3.07)%0.23%n/an/an/a3.43%
Bank of America Merrill Lynch 3-Month Treasury Bill Index (c)0.02%0.04%1.13%0.63%0.58%1.16%
Bloomberg Global Aggregate Index (d)(5.57)%(5.32)%2.36%1.28%1.77%1.55%
       

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated December 31, 2021, is 3.39% and 3.48% for the I and R6 Classes, respectively.

 

(a)Inception date for Class I is February 11, 2011.

 

(b)Inception date for Class R6 is August 17, 2017

 

(c)The Bank of America Merrill Lynch 3-Month Treasury Bill Index consists of U.S. Treasury Bills maturing in 90 days.

 

(d)The Bloomberg Global Aggregate Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers.

 

Top 10 Holdings by Industry % of Net Assets 
Open End Funds - Fixed Income  30.0%
Exchange Traded Funds - Fixed Income  15.3%
Exchange Traded Funds - Equity  10.4%
Exchange Traded Funds - Commodity  9.5%
Exchange Traded Funds - Alternative  4.3%
Exchange Traded Funds - Mixed Allocation  2.9%
Open End Funds - Alternative  2.4%
Exchange Traded Funds - Specialty  0.5%
Exchange Traded Notes - Commodity  0.2%
Exchange Traded Notes - Specialty  0.1%
Other/Cash & Equivalents  24.4%
   100.0%
     

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund’s assets.

1

 

Easterly Global Real Estate Fund
PORTFOLIO REVIEW (Unaudited)
February 28, 2022
 

The Fund’s performance figures* for the six months ended February 28, 2022, as compared to its benchmark:

 

 Six MonthsOne YearAnnualized
Five Year
Annualized
Ten Year
Annualized
Since Inception (a)
Annualized
Since Inception (b)
Annualized
Since Inception (c)
Annualized
Since Inception (d)
Class A(2.54)%9.33%9.02%9.17%9.75%n/an/an/a
Class A With Load(8.17)%3.04%7.73%8.53%9.23%n/an/an/a
Class C(2.86)%8.59%8.21%8.48%n/a9.30%n/an/a
Class I(2.40)%9.73%9.47%9.71%n/an/a9.05%n/a
Class R6(2.32)%9.90%n/an/an/an/an/a9.47%
FTSE EPRA/NAREIT Developed Net Index (e)(4.20)%13.56%6.22%7.47%8.20%8.47%6.87%6.18%
         

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated December 31, 2021, is 1.51%, 2.26%, 1.26% and 1.26% for the A, C, I and R6 Classes, respectively.

 

(a)Inception date for Class A is October 26, 2009.

 

(b)Inception date for Class C is January 5, 2012.

 

(c)Inception date for Class I is August 1, 2011.

 

(d)Inception date for Class R6 is August 17, 2017.

 

(e)The FTSE EPRA/NAREIT Developed Net Index is designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate.

 

Top 10 Holdings by Country % of Net Assets 
United States  46.3%
Germany  11.9%
Japan  10.2%
Cayman Islands  5.9%
United Kingdom  5.8%
Spain  4.7%
Hong Kong  4.6%
Australia  2.3%
Singapore  2.3%
Bermuda  2.0%
Other/Cash & Equivalents  4.0%
   100.0%
     

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund’s assets.

2

 

Easterly Multi Strategy Alternative Income Fund
PORTFOLIO REVIEW (Unaudited)
February 28, 2022
 

The Fund’s performance figures* for the six months ended February 28, 2022, as compared to its benchmark:

 

   AnnualizedAnnualizedAnnualized
 Six MonthsOne YearFive YearSince Inception (a)Since Inception (b)
Class A(6.60)%(1.61)%4.30%2.52%n/a
Class A With Load(8.45)%(7.28)%3.09%1.70%n/a
Class C(6.95)%(2.46)%3.51%1.75%n/a
Class I(6.37)%(1.32)%4.59%2.77%n/a
Class R6(6.15)%(0.98)%n/an/a6.43%
Russel 2000 Total Return Index (c)(9.46)%(6.01)%9.50%9.95%10.86%
      

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated December 31, 2021, is 4.64%, 5.39%, 4.39% and 4.39% for the A, C, I and R6 Classes, respectively.

 

(a)Inception date for Class A, C and I is September 29, 2014.

 

(b)Inception date for Class R6 is August 17, 2017.

 

(c)The Russell 2000 Total Return Index is an unmanaged market capitalization-weighted index which measures the performance of the small-cap sector of the U.S. stock market. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.

 

Top 10 Holdings by Industry/Security Type * % of Net Assets 
Software  14.4%
Closed End Funds - Fixed Income  9.9%
Real Estate Owners & Developers  5.5%
Open End Funds - Fixed Income  5.4%
Technology Services  4.0%
Exchanged Traded Funds - Fixed Income  3.6%
Data Center REIT  3.1%
Residential REIT  2.7%
Retail REIT  2.2%
Leisure Facilities & Services  2.1%
Other/Cash & Equivalents  47.1%
   100.0%
     
*Does not include securities sold short in which the Fund invests.

 

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund’s assets.

3

 

Easterly Hedged Equity Fund
PORTFOLIO REVIEW (Unaudited)
February 28, 2022
 

The Fund’s performance figures* for the six months ended February 28, 2022, as compared to its benchmarks:

 

   AnnualizedAnnualizedAnnualized
 Six MonthsOne YearFive YearSince Inception (a)Since Inception (b)
Class A(0.77)%5.76%6.11%4.99%n/a
Class A With Load(2.77)%(0.33)%4.86%4.05%n/a
Class C(1.05)%5.02%5.27%4.19%n/a
Class I(0.59)%6.05%6.46%5.36%n/a
Class R6(0.49)%6.40%n/an/a7.54%
S&P 500 Total Return Index (c)(2.62)%16.39%15.17%13.92%15.90%
      

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated December 31, 2021, is 2.12%, 2.76%, 1.92% and 1.92% for the A, C, I and R6 Classes, respectively.

 

(a)Inception date for Class A, C and I is July 31, 2015,

 

(b)Inception date for Class R6 is August 17, 2017.

 

(c)The S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.

 

Top 10 Holdings by Security Type * % of Net Assets 
Exchange Traded Funds  88.8%
Put Options Purchased  4.4%
Call Options Written  (0.7)%
Put Options Written  (1.1)%
Other/Cash & Equivalents  8.6%
   100.0%
     
*Does not include derivatives in which the Fund invests.

 

Please refer to the Schedule of Investments for a more detailed breakdown of the Fund’s assets.

4

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2022

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 42.9%    
    ALTERNATIVE - 4.3%    
 12,970  iMGP DBi Managed Futures Strategy ETF $346,364 
         
    COMMODITY - 9.5%    
 328  Invesco DB Agriculture Fund(a)  6,865 
 186  Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF  3,009 
 244  iShares Gold Trust(a),(b)  8,860 
 43  iShares GSCI Commodity Dynamic  1,564 
 12,327  iShares S&P GSCI Commodity Indexed Trust(a),(b)  256,525 
 3,516  ProShares UltraShort Bloomberg Crude Oil(a)  28,866 
 587  SPDR Gold Shares(a),(b)  104,709 
 6,170  United States Commodity Index Fund(a)  308,870 
 2,752  United States Natural Gas Fund, L.P.(a)  42,546 
       761,814 
    EQUITY - 10.4%    
 4,101  Core Alternative ETF  127,049 
 665  Direxion NASDAQ-100 Equal Weighted Index Shares  50,068 
 144  Energy Select Sector SPDR Fund  10,164 
 277  ETFMG Alternative Harvest ETF  2,665 
 767  First Trust Financial AlphaDEX Fund  35,481 
 486  Global X MSCI Argentina ETF  15,722 
 631  Invesco DWA Financial Momentum ETF  31,039 
 502  Invesco KBW High Dividend Yield Financial ETF  9,578 
 619  Invesco S&P 500 Downside Hedge ETF  22,445 
 1,913  Invesco S&P 500 Equal Weight ETF  295,080 
 629  Invesco S&P SmallCap Energy ETF  5,504 
 16  iShares Currency Hedged MSCI EAFE ETF  531 
 515  iShares Latin America 40 ETF  13,853 
 18  iShares MSCI All Country Asia ex Japan ETF  1,415 
 85  iShares MSCI Brazil ETF  2,796 
 45  iShares MSCI Chile ETF  1,171 
 109  iShares MSCI Frontier and Select EM ETF  3,681 
 2,365  iShares MSCI Global Multifactor ETF  86,320 
 179  iShares MSCI Japan ETF  11,266 
 24  iShares MSCI Mexico ETF  1,208 
         

See accompanying notes to financial statements.

5

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 42.9% (Continued)    
    EQUITY - 10.4% (Continued)    
 429  iShares S&P/TSX Capped Materials Index ETF $6,711 
 283  iShares S&P/TSX Global Gold Index ETF  4,400 
 399  iShares S&P/TSX SmallCap Index ETF  6,553 
 186  Materials Select Sector SPDR Fund  15,509 
 34  SPDR EURO STOXX 50 ETF  1,419 
 39  SPDR S&P Oil & Gas Exploration & Production ETF  4,559 
 82  VanEck Africa Index ETF  1,744 
 463  VanEck Russia ETF  5,024 
 806  Vanguard FTSE Emerging Markets ETF  38,543 
 322  VictoryShares US EQ Income Enhanced Volatility ETF  22,427 
       833,925 
    FIXED INCOME - 15.3%    
 238  BlackRock Ultra Short-Term Bond ETF  11,969 
 3,477  Highland/iBoxx Senior Loan ETF  54,485 
 475  iShares 0-5 Year TIPS Bond ETF  50,321 
 1,371  iShares 7-10 Year Treasury Bond ETF  153,717 
 411  iShares Agency Bond ETF  47,314 
 17,694  iShares Barclays USD Asia High Yield Bond Index ETF  138,367 
 367  iShares Floating Rate Bond ETF  18,596 
 1,139  iShares iBoxx $ High Yield Corporate Bond ETF  95,300 
 2,208  iShares JP Morgan USD Emerging Markets Bond ETF  219,034 
 3,171  SPDR Bloomberg Euro High Yield Bond UCITS ETF  193,055 
 21  SPDR Doubleline Total Return Tactical ETF  968 
 6,083  VanEck Emerging Markets High Yield Bond ETF  124,397 
 138  Vanguard Long-Term Treasury ETF  11,667 
 1,536  Vanguard Total International Bond ETF  82,437 
 677  WisdomTree Emerging Markets Local Debt Fund  19,125 
       1,220,752 
    MIXED ALLOCATION - 2.9%    
 738  iShares Morningstar Multi-Asset Income ETF  16,811 
 7,413  SPDR SSgA Multi-Asset Real Return ETF  214,384 
       231,195 
    SPECIALTY - 0.5%    
 490  Invesco DB US Dollar Index Bullish Fund(a)  12,681 
         

See accompanying notes to financial statements.

6

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 42.9% (Continued)    
    SPECIALTY - 0.5% (Continued)    
 18  ProShares Short VIX Short-Term Futures ETF(a) $925 
 909  WisdomTree Bloomberg U.S. Dollar Bullish Fund(a)  23,807 
       37,413 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $3,495,200)  3,431,463 
         
    EXCHANGE-TRADED NOTES — 0.3%    
    COMMODITY - 0.2%    
 96  iPath Series B Bloomberg Coffee Subindex Total Return ETN(a),(b)  6,073 
 96  iPath Series B Bloomberg Grains Subindex Total Return ETN(a),(b)  7,581 
       13,654 
    SPECIALTY - 0.1%    
 277  iPath Series B S&P 500 VIX Short-Term Futures ETN(a)  6,648 
         
    TOTAL EXCHANGE-TRADED NOTES (Cost $19,075)  20,302 
         
    OPEN END FUNDS — 32.4%    
    ALTERNATIVE - 2.4%    
 1,336  AQR Managed Futures Strategy Fund, Class I  10,578 
 17,555  Easterly Hedged Equity Fund, Class R6(c)  183,103 
       193,681 
    FIXED INCOME - 30.0%    
 222,136  Easterly Income Opportunities Fund, Class R6(c)  2,394,642 
         
    TOTAL OPEN END FUNDS (Cost $2,657,128)  2,588,323 
         
    TOTAL INVESTMENTS - 75.6% (Cost $6,171,403) $6,040,088 
    OTHER ASSETS IN EXCESS OF LIABILITIES- 24.4%  1,952,241 
    NET ASSETS - 100.0% $7,992,329 

 

EAFE- Europe, Australasia and Far East
  
ETF- Exchange-Traded Fund
  
L.P.- Limited Partnership
  
MSCI- Morgan Stanley Capital International
  
SPDR- Standard & Poor’s Depositary Receipt

 

 

(a)Non-income producing security.

 

(b)All or a portion of this investment is a holding of the James Apha Cayman Commodity Fund I Ltd.

 

(c)Affiliated investment.

 

See accompanying notes to financial statements.

7

 

EASTERLY GLOBAL MACRO FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

February 28, 2022

 

Forward Currency Contracts

Settlement Units to           US Dollar  Appreciation/ 
Date Receive/Deliver    Counterparty In Exchange For    Value  (Depreciation) 
To Buy:                      
3/23/2022  4,466  AUD Brown Brothers Harriman $3,209  USD $3,244  $35 
                  Total Unrealized:  $35 
To Sell:                      
3/23/2022  (13,269) CAD Brown Brothers Harriman $(10,462) USD $(10,468) $(6)
3/23/2022  (16,041) CHF Brown Brothers Harriman  (17,419) USD  (17,508)  (89)
3/23/2022  (84,878) EUR Brown Brothers Harriman  (96,598) USD  (95,276)  1,322 
3/23/2022  (16,942) GBP Brown Brothers Harriman  (23,007) USD  (22,731)  276 
3/23/2022  (41,008,667) JPY Brown Brothers Harriman  (355,361) USD  (356,930)  (1,569)
3/23/2022  (126,512) MXN Brown Brothers Harriman  (6,192) USD  (6,153)  39 
                  Total Unrealized: $(27)

 

Currency Abbreviations:

 

AUD - Australian Dollar

 

CAD - Canadian Dollar

 

CHF - Swiss Franc

 

EUR - Euro

 

GBP - British Pound

 

JPY - Japanese Yen

 

MXN - Mexican Peso

 

USD - U.S. Dollar

 

TOTAL RETURN SWAP - 8.0 % Unrealized Gain 
The Deutsche Bank Total Return Swap provides exposure to the daily, total returns of the James Alpha Index, a proprietary index of the London Branch of Deutsche Bank AG. The number of shares is 80,351, with a receivable rate of 0.39%. The James Alpha Index features a basket of commodity trading advisor (“CTA”) programs selected by Easterly Funds, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The James Alpha Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, Easterly Funds, LLC can modify the James Alpha Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the James Alpha Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on December 7, 2016. The maturity date of the swap is December 9, 2022. (Notional Value $8,240,337) $643,350 
  $643,350 
     
TOTAL RETURN SWAP - 0.1 % Unrealized Gain 
The Goldman Sachs i-Select III Series 88 Excess Return Strategy (“GS i-Select”) is a synthetic rules-based proprietary strategy created by Goldman Sachs International as strategy sponsor. The GS i-Select Index includes strategies of the GS Risk Premia Universe that were selected by Easterly Funds, LLC. The GS i-Select Index is actively managed by Easterly Funds, LLC. The Index features 15 Portfolio Constituents that Easterly Funds, LLC determines the daily weighting of each constituent within the GS i- Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, Easterly Funds, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The swap became effective on February 1, 2022, and has a maturity date of February 3, 2023. The number of shares is 25,578. (Notional Value $2,544,794) $9,708 
  $9,708 
     
TOTAL RETURN SWAP - 0.0 % Unrealized Gain 
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy (“GS Intraday Momentum”) aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The swap became effective on February 1, 2022, and has a maturity date of February 3, 2023. The number of shares is 887. (Notional Value $92,741) $31 
  $31 
     
TOTAL RETURN SWAP - (0.0) % Unrealized Loss 
The Goldman Sachs Long Gamma US Series 10 Excess Return Strategy (“GS Long Gamma”) attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10-delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The swap became effective on February 1, 2022, and has a maturity date of February 3, 2023. The number of shares is 1,521. (Notional Value $210,882) $(3,477)
  $(3,477)
     
TOTAL RETURN SWAP - 0.0 % Unrealized Gain 
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy (“GS Calls vs Calls”) is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The swap became effective on February 1, 2022, and has a maturity date of February 3, 2023. The number of shares is 1,641. (Notional Value $191,674) $2,030 
  $2,030 
     
TOTAL RETURN SWAP - 0.1 % Unrealized Gain 
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy (“GS Systematic Skew”) is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The swap became effective on February 1, 2022, and has a maturity date of February 3, 2023. The number of shares is 2,122. (Notional Value $314,470) $10,411 
  $10,411 

 

See accompanying notes to financial statements.

8

 

EASTERLY GLOBAL MACRO FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

February 28, 2022

 

James Alpha Index Swap Top 50 Holdings

FUTURES CONTRACTS

 

               Percentage of 
            Unrealized  Total Return 
Number of     Notional Value at     Appreciation /  Swap Unrealized 
Contracts Open Long Future Contracts Counterparty February 28, 2022  Expiration  (Depreciation)  Gain/(Loss) 
17 Corn Future Deutsche Bank $569,381   5/13/2022  $18,925   2.94%
2 E-Mini S&P 500 Deutsche Bank  505,530   3/18/2022   (846)  (0.13)%
2 Eurodollar Deutsche Bank  460,804   12/18/2023   (26,138)  (4.06)%
2 Gold Deutsche Bank  342,869   4/27/2022   7,966   1.24%
8 Light Sweet Crude Oil (WTI) Future Deutsche Bank  595,460   11/20/2023   59,934   9.32%
5 NY Harbour ULSD Future Deutsche Bank  517,557   9/30/2022   13,373   2.08%
              $73,214     

 

               Percentage of 
            Unrealized  Total Return 
Number of     Notional Value at     Appreciation /  Swap Unrealized 
Contracts Open Short Future Contracts Counterparty February 28, 2022  Expiration  (Depreciation)  Gain/(Loss) 
(3) 3 month Euro (EURIBOR) Deutsche Bank  738,028   6/17/2024  $3,440   0.53%
(5) 3 Month SONIA Index Futures Deutsche Bank  1,720,417   3/19/2024   3,264   0.51%
(10) 3 year Australian Treasury Bond Deutsche Bank  823,683   3/15/2022   9,953   1.55%
(0) 10 year Japanese Government Bond Deutsche Bank  361,185   3/14/2022   (1,218)  (0.19)%
(9) AUD/USD Deutsche Bank  626,525   3/14/2022   (4,104)  (0.64)%
(12) Corn Future Deutsche Bank  412,542   7/14/2022   (57,341)  (8.91)%
(5) EUR/USD Deutsche Bank  693,515   3/14/2022   3,857   0.60%
(4) Euro-BOBL Deutsche Bank  611,989   3/8/2022   1,857   0.29%
(5) Eurodollar Deutsche Bank  1,243,656   12/16/2024   10,952   1.70%
(4) JPY/USD Deutsche Bank  413,448   3/14/2022   1,413   0.22%
(4) Light Sweet Crude Oil (WTI) Future Deutsche Bank  353,426   11/21/2022   (31,271)  (4.86)%
(5) Light Sweet Crude Oil (WTI) Future Deutsche Bank  475,280   5/20/2022   (70,026)  (10.88)%
(3) Long Gilt Future Deutsche Bank  489,151   6/28/2022   (1,084)  (0.17)%
(5) NY Harbour ULSD Future Deutsche Bank  520,133   8/31/2022   (14,107)  (2.19)%
(2) SOFR 3month Futures Deutsche Bank  607,773   6/18/2024   1,433   0.22%
(4) SOFR 3month Futures Deutsche Bank  938,674   12/19/2023   1,084   0.17%
(3) Three Month Canadian Bankers Acceptance Future Deutsche Bank  573,589   12/19/2022   119   0.02%
(9) Wheat Future Deutsche Bank  394,534   9/14/2022   (10,982)  (1.71)%
              $(152,761)    
                     
  TOTAL FUTURES CONTRACTS     $(79,547)    

 

PURCHASED CALL OPTIONS

 

                Percentage of 
                Total Return 
    Notional Value at        Unrealized  Swap Unrealized 
Description Counterparty February 28, 2022  Expiration  Strike Price  Appreciation  Gain 
CNH/USD Deutsche Bank $435,204   4/18/2022  $6.60  $91   0.01%
USD/EUR Deutsche Bank  435,204   4/28/2022   1.18   620   0.10%
ZAR/USD Deutsche Bank  336,080   7/21/2022   15.40   1,168   0.18%
TOTAL PURCHASED PUT OPTIONS    1,879     

 

FORWARD CURRENCY CONTRACTS +

 

                 Unrealized  Percentage of 
Settlement Units to           US Dollar  Appreciation /  Total Return Swap 
Date Receive/Deliver    Counterparty In Exchange For  Value  (Depreciation)  Unrealized Gain 
To Buy:                          
3/11/2022  2,314,153  CNH Deutsche Bank $362,930  USD $359,458  $(3,472)  (0.54)%
9/30/2022  4,840,050  HKD Deutsche Bank  621,897  USD  621,897      0.00%
5/17/2022  6,538,115,581  IDO Deutsche Bank  441,168  USD  429,303   (11,865)  (1.84)%
6/16/2022  2,129,967,056  KRO Deutsche Bank  1,825,099  USD  1,879,657   54,558   8.48%
10/21/2022  594,676,986  KRO Deutsche Bank  497,525  USD  500,078   2,552   0.40%
10/27/2022  1,219,590,526  KRO Deutsche Bank  1,024,990  USD  1,034,778   9,788   1.52%
11/1/2022  605,490,358  KRO Deutsche Bank  514,256  USD  524,440   10,184   1.58%
11/3/2022  601,030,383  KRO Deutsche Bank  499,576  USD  498,837   (738)  (0.11)%
11/8/2022  598,234,291  KRO Deutsche Bank  497,518  USD  497,023   (495)  (0.08)%
11/16/2022  616,246,730  KRO Deutsche Bank  519,540  USD  525,992   6,452   1.00%
3/31/2022  13,440,336  TWO Deutsche Bank  482,764  USD  485,405   2,641   0.41%
3/30/2022  260,827  USD Deutsche Bank  361,426  AUD  362,754   1,328   0.21%
3/31/2022  274,222  USD Deutsche Bank  381,305  AUD  381,336   31   0.00%
7/21/2022  5,175,634  ZAR Deutsche Bank  336,080  USD  337,248   1,168   0.18%
To Sell:                          
12/30/2022  4,835,883  HKD Deutsche Bank  621,907  USD  622,005   98   0.02%
7/21/2022  594,582,456  KRO Deutsche Bank  497,532  USD  494,414   (3,118)  (0.48)%
7/27/2022  1,218,399,741  KRO Deutsche Bank  1,025,004  USD  1,013,213   (11,791)  (1.83)%
8/1/2022  604,533,841  KRO Deutsche Bank  514,263  USD  502,765   (11,498)  (1.79)%
8/16/2022  615,420,662  KRO Deutsche Bank  519,547  USD  511,903   (7,643)  (1.19)%
9/16/2022  2,131,626,750  KRO Deutsche Bank  1,796,374  USD  1,773,571   (22,804)  (3.54)%
2/3/2023  600,980,630  KRO Deutsche Bank  497,525  USD  500,782   3,257   0.51%
2/8/2023  598,209,415  KRO Deutsche Bank  497,525  USD  498,524   999   0.16%
2/28/2022  547,904  USD Deutsche Bank  488,462  EUR  487,677   (785)  (0.12)%
3/31/2022  437,999  USD Deutsche Bank  390,315  EUR  390,166   (149)  (0.02)%
   TOTAL FORWARD CURRENCY CONTRACTS     18,698   �� 

  

+Foreign currency transactions are done by notional and not by contracts Currency Abbreviations:

 

AUD - Australian Dollar

 

CHF - Swiss Franc

 

EUR - Euro

 

MXN - Mexican Peso

 

USD - U.S. Dollar

 

See accompanying notes to financial statements.

9

 

EASTERLY GLOBAL MACRO FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

February 28, 2022

 

Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings

 

FUTURES CONTRACTS *

 

Number of     Notional Value at    
Contracts Open Long Future Contracts Counterparty February 28, 2022  Expiration 
1 CBOT 5 Year US Treasury Note 06/30/2022 Goldman Sachs $80,370   6/30/2022 
0 CBOT Soybean Future 44694 Goldman Sachs  37,508   5/13/2022 
1 CBOT Wheat Future 07/14/2022 Goldman Sachs  28,127   7/14/2022 
1 CBOT Wheat Future Goldman Sachs  27,751   9/14/2022 
1 CME Live Cattle Future 08/31/2022 Goldman Sachs  40,844   8/31/2022 
1 Eurex 5 Year Euro BOBL Future 44628 Goldman Sachs  75,423   3/8/2022 
0 ICE Brent Crude Oil Future 03/31/2022 Goldman Sachs  46,048   3/31/2022 
0 ICE Brent Crude Oil Future 04/29/2022 Goldman Sachs  44,699   4/29/2022 
0 ICE Gas Oil Future 04/12/2022 Goldman Sachs  26,446   4/12/2022 
0 LME Nickel Future 04/14/2022 Goldman Sachs  35,898   4/14/2022 
0 LME Nickel Future Goldman Sachs  35,733   5/16/2022 
0 LME Zinc Future Goldman Sachs  37,193   7/18/2022 
0 LME Zinc Future Goldman Sachs  37,056   8/15/2022 
3 NYBOT CSC Number 11 World Sugar Future 44680 Goldman Sachs  60,638   4/29/2022 

 

Number of     Notional Value at    
Contracts Open Short Future Contracts Counterparty February 28, 2022  Expiration 
(1) 3 Month Euro Euribor Future Goldman Sachs  195,865   6/13/2022 
(1) 3 Month Euro Euribor Future Goldman Sachs  195,839   9/19/2022 
(1) 3 Month Euro Euribor Future Goldman Sachs  195,796   12/19/2022 
(1) 3 Month Euro Euribor Future Goldman Sachs  195,625   3/13/2023 
(1) 3 Month Euro Euribor Future Goldman Sachs  195,536   6/19/2023 
(1) CBOT 2 Year US Treasury Note Future Goldman Sachs  215,202   6/30/2022 
(1) CBOT 5 Year US Treasury Note Goldman Sachs  110,367   6/30/2022 
(1) CBOT Wheat Future Goldman Sachs  53,121   5/13/2022 
(1) CME 3 Month SOFR Future Goldman Sachs  208,362   6/14/2022 
(1) CME 3 Month SOFR Future Goldman Sachs  208,073   9/20/2022 
(1) CME 3 Month SOFR Future Goldman Sachs  207,648   12/20/2022 
(1) CME 3 Month SOFR Future Goldman Sachs  207,166   3/14/2023 
(1) CME 3 Month SOFR Future Goldman Sachs  206,747   6/20/2023 
(0) Eurex 5 Year Euro BOBL Future Goldman Sachs  38,238   6/8/2022 
(0) Eurex 10 Year Euro BUND Future Goldman Sachs  37,748   3/8/2022 
(1) ICE 3 Month SONIA Index Future Goldman Sachs  188,364   6/14/2022 
(1) ICE 3 Month SONIA Index Future Goldman Sachs  188,150   9/20/2022 
(1) ICE 3 Month SONIA Index Future Goldman Sachs  188,034   12/20/2022 
(1) ICE 3 Month SONIA Index Future Goldman Sachs  188,017   3/14/2023 
(1) ICE 3 Month SONIA Index Future Goldman Sachs  187,960   6/20/2023 
(1) ICE Brent Crude Oil Future Goldman Sachs  47,866   6/30/2022 
(1) ICE Brent Crude Oil Future Goldman Sachs  47,126   7/29/2022 
(0) ICE Gas Oil Future Goldman Sachs  27,821   7/12/2022 
(0) ICE Gas Oil Future Goldman Sachs  27,436   8/11/2022 
(0) LME Nickel Future Goldman Sachs  36,688   7/18/2022 
(0) LME Nickel Future Goldman Sachs  36,428   8/15/2022 
(0) LME Zinc Future Goldman Sachs  35,459   4/14/2022 
(0) LME Zinc Future Goldman Sachs  35,414   5/16/2022 
(2) NYBOT CSC Number 11 World Sugar Future Goldman Sachs  33,627   6/30/2022 
(2) NYBOT CSC Number 11 World Sugar Future Goldman Sachs  33,800   9/30/2022 
(0) TSE Japanese 10 Year Bond Future Goldman Sachs  32,193   3/10/2022 

                                     

Written Put Options

 

Number of     Notional Value at    Exercise    
Contracts Open Short Equity Forwards Counterparty February 28, 2022  Expiration Price  Value 
(14) S&P 500 Index Goldman Sachs  60,973  3/4/2022 $3,780  $(25)
(14) S&P 500 Index Goldman Sachs  59,863  3/4/2022  3,925   (38)
(76) S&P 500 Index Goldman Sachs  330,461  3/4/2022  4,040   (366)
                 (429)

 

CREDIT DEFAULT SWAP

 

Number of     Notional Value at      
Contracts Open Credit Default Swap Counterparty February 28, 2022  Expiration Value 
82,068 Markit CDX North America Investment Grade Index Goldman Sachs  82,068  12/20/2026 $(1,364)
73,166 Markit iTraxx Europe Index Goldman Sachs  82,180  12/20/2026  (1,285)
             (2,649)

 

*The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses.

 

See accompanying notes to financial statements.

10

 

EASTERLY GLOBAL MACRO FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

February 28, 2022

 

Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings

 

NO OPEN POSITIONS

 

Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS

 

Number of     Notional Value at     Exercise    
Contracts Open Short Equity Forwards Counterparty February 28, 2022  Expiration  Price  Value 
3 S&P 500 Index Goldman Sachs $15,213   5/20/2022  $4,385   (73)
7 S&P 500 Index Goldman Sachs  31,272   6/17/2022   4,380   (133)
5 S&P 500 Index Goldman Sachs  19,723   7/15/2022   4,380   (82)
4 S&P 500 Index Goldman Sachs  18,248   8/19/2022   4,380   (79)
5 S&P 500 Index Goldman Sachs  20,404   9/16/2022   4,375   (70)
3 S&P 500 Index Goldman Sachs  12,474   10/21/2022   4,375   (37)
3 S&P 500 Index Goldman Sachs  14,639   11/18/2022   4,375   (43)
12 S&P 500 Index Goldman Sachs  51,368   12/16/2022   4,375   (149)
3 S&P 500 Index Goldman Sachs  14,328   2/17/2023   4,375   (14)
3 S&P 500 Index Goldman Sachs  15,300   3/17/2023   4,375   (13)
2 S&P 500 Index Goldman Sachs  10,692   6/16/2023   4,375   9 
                   (684)

                              

PURCHASED PUT OPTIONS

 

Number of     Notional Value at     Exercise    
Contracts Open Put Options Counterparty February 28, 2022  Expiration  Price  Value 
4 S&P 500 Index Goldman Sachs $18,796   3/18/2022  $2,050  $1 
4 S&P 500 Index Goldman Sachs  19,514   3/18/2022   2,100   1 
6 S&P 500 Index Goldman Sachs  26,265   3/18/2022   2,150   1 
3 S&P 500 Index Goldman Sachs  12,411   3/18/2022   2,250   1 
2 S&P 500 Index Goldman Sachs  10,704   3/18/2022   2,450   1 
4 S&P 500 Index Goldman Sachs  15,681   3/18/2022   2,500   2 
3 S&P 500 Index Goldman Sachs  12,236   3/18/2022   2,550   1 
2 S&P 500 Index Goldman Sachs  10,269   3/18/2022   2,575   1 
4 S&P 500 Index Goldman Sachs  16,457   3/18/2022   2,600   2 
3 S&P 500 Index Goldman Sachs  11,199   3/18/2022   2,725   2 
3 S&P 500 Index Goldman Sachs  11,543   3/18/2022   2,775   2 
3 S&P 500 Index Goldman Sachs  10,936   3/18/2022   2,825   3 
3 S&P 500 Index Goldman Sachs  13,060   3/18/2022   2,875   3 
3 S&P 500 Index Goldman Sachs  13,243   3/18/2022   2,925   4 
4 S&P 500 Index Goldman Sachs  17,220   4/14/2022   2,500   11 
2 S&P 500 Index Goldman Sachs  10,689   4/14/2022   2,975   14 
3 S&P 500 Index Goldman Sachs  12,509   6/17/2022   2,050   17 
3 S&P 500 Index Goldman Sachs  14,382   6/17/2022   2,500   36 
3 S&P 500 Index Goldman Sachs  11,817   6/17/2022   2,550   31 
4 S&P 500 Index Goldman Sachs  16,874   7/15/2022   2,600   63 
3 S&P 500 Index Goldman Sachs  11,527   8/19/2022   2,600   56 
3 S&P 500 Index Goldman Sachs  12,800   8/19/2022   2,650   66 
4 S&P 500 Index Goldman Sachs  15,582   9/16/2022   2,500   79 
4 S&P 500 Index Goldman Sachs  15,722   9/16/2022   2,550   85 
3 S&P 500 Index Goldman Sachs  13,242   9/16/2022   2,600   76 
3 S&P 500 Index Goldman Sachs  11,749   10/21/2022   2,500   71 
3 S&P 500 Index Goldman Sachs  12,250   11/18/2022   2,750   115 
3 S&P 500 Index Goldman Sachs  11,608   11/18/2022   3,275   218 
3 S&P 500 Index Goldman Sachs  11,768   12/16/2022   2,450   83 
2 S&P 500 Index Goldman Sachs  10,530   12/16/2022   2,650   96 
2 S&P 500 Index Goldman Sachs  10,555   12/16/2022   2,700   102 
2 S&P 500 Index Goldman Sachs  10,277   12/16/2022   3,025   152 
2 S&P 500 Index Goldman Sachs  10,530   12/16/2022   3,200   196 
3 S&P 500 Index Goldman Sachs  14,014   12/16/2022   3,250   278 
3 S&P 500 Index Goldman Sachs  11,497   12/16/2022   3,275   236 
2 S&P 500 Index Goldman Sachs  10,887   12/16/2022   3,325   239 
3 S&P 500 Index Goldman Sachs  12,019   2/17/2023   2,500   109 
3 S&P 500 Index Goldman Sachs  11,500   2/17/2023   2,600   118 
3 S&P 500 Index Goldman Sachs  13,265   3/17/2023   2,600   147 
                   2,719 

 

See accompanying notes to financial statements.

11

 

EASTERLY GLOBAL MACRO FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

February 28, 2022

 

Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings

 

PURCHASED CALL OPTIONS

 

Number of     Notional Value at    Exercise    
Contracts Open Call Options Purchased Counterparty February 28, 2022  Expiration Price  Value 
2 S&P 500 Index Goldman Sachs $10,445  3/18/2022 $4,230  $472 
2 S&P 500 Index Goldman Sachs  10,260  3/18/2022  4,290   360 
2 S&P 500 Index Goldman Sachs  7,405  3/18/2022  4,310   236 
1 S&P 500 Index Goldman Sachs  5,372  3/18/2022  4,335   151 
2 S&P 500 Index Goldman Sachs  7,947  3/18/2022  4,355   200 
1 S&P 500 Index Goldman Sachs  4,894  3/18/2022  4,360   119 
1 S&P 500 Index Goldman Sachs  4,420  3/18/2022  4,365   104 
4 S&P 500 Index Goldman Sachs  17,885  3/18/2022  4,385   374 
3 S&P 500 Index Goldman Sachs  14,037  3/18/2022  4,405   258 
1 S&P 500 Index Goldman Sachs  3,920  3/18/2022  4,420   65 
2 S&P 500 Index Goldman Sachs  10,082  3/18/2022  4,425   161 
1 S&P 500 Index Goldman Sachs  5,672  3/18/2022  4,435   84 
2 S&P 500 Index Goldman Sachs  10,783  3/18/2022  4,470   121 
3 S&P 500 Index Goldman Sachs  11,202  3/18/2022  4,475   120 
2 S&P 500 Index Goldman Sachs  7,268  3/18/2022  4,480   74 
2 S&P 500 Index Goldman Sachs  8,125  3/18/2022  4,485   79 
1 S&P 500 Index Goldman Sachs  2,943  3/18/2022  4,490   27 
2 S&P 500 Index Goldman Sachs  7,669  3/18/2022  4,500   65 
2 S&P 500 Index Goldman Sachs  8,727  3/18/2022  4,505   71 
1 S&P 500 Index Goldman Sachs  6,015  3/18/2022  4,515   44 
2 S&P 500 Index Goldman Sachs  8,492  3/18/2022  4,520   59 
1 S&P 500 Index Goldman Sachs  6,338  3/18/2022  4,545   34 
1 S&P 500 Index Goldman Sachs  4,917  3/18/2022  4,580   18 
2 S&P 500 Index Goldman Sachs  8,768  3/18/2022  4,585   30 
2 S&P 500 Index Goldman Sachs  6,696  3/18/2022  4,590   21 
1 S&P 500 Index Goldman Sachs  2,834  3/18/2022  4,670   3 
1 S&P 500 Index Goldman Sachs  5,288  3/18/2022  4,680   6 
1 S&P 500 Index Goldman Sachs  5,511  3/18/2022  4,700   5 
1 S&P 500 Index Goldman Sachs  4,100  3/18/2022  4,715   3 
2 S&P 500 Index Goldman Sachs  7,761  3/18/2022  4,795   3 
1 S&P 500 Index Goldman Sachs  4,570  4/14/2022  4,235   247 
1 S&P 500 Index Goldman Sachs  5,301  4/14/2022  4,295   235 
1 S&P 500 Index Goldman Sachs  2,722  4/14/2022  4,315   112 
1 S&P 500 Index Goldman Sachs  6,354  4/14/2022  4,390   193 
1 S&P 500 Index Goldman Sachs  2,827  4/14/2022  4,410   79 
1 S&P 500 Index Goldman Sachs  2,768  4/14/2022  4,430   70 
1 S&P 500 Index Goldman Sachs  2,817  4/14/2022  4,475   57 
1 S&P 500 Index Goldman Sachs  2,861  4/14/2022  4,480   56 
1 S&P 500 Index Goldman Sachs  2,543  4/14/2022  4,525   38 
1 S&P 500 Index Goldman Sachs  4,873  4/14/2022  4,590   48 
1 S&P 500 Index Goldman Sachs  3,452  5/20/2022  4,395   135 
1 S&P 500 Index Goldman Sachs  3,591  5/20/2022  4,485   100 
                 4,737 

 

WRITTEN CALL OPTIONS

 

Number of     Notional Value at     Exercise    
Contracts Open Call Options Written Counterparty February 28, 2022  Expiration  Price  Value 
(25) Apple, Inc. Goldman Sachs $4,113   3/18/2022  $175  $(21)
(26) Walmart, Inc. Goldman Sachs  3,489   3/18/2022   140   (22)
(29) Walmart, Inc. Goldman Sachs  3,903   3/18/2022   135   (81)
(59) NextEra Energy, Inc. Goldman Sachs  4,631   3/18/2022   75   (252)
(62) Verizon Communications, Inc. Goldman Sachs  3,326   4/14/2022   53   (130)
(64) Verizon Communications, Inc. Goldman Sachs  3,422   3/18/2022   53   (113)
(66) Pfizer, Inc. Goldman Sachs  3,075   3/18/2022   55   (4)
(85) Cisco Systems, Inc. Goldman Sachs  4,737   3/18/2022   55   (159)
                   (782)

12

 

EASTERLY GLOBAL MACRO FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(Continued)

February 28, 2022

 

Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS

 

Number of     Notional Value at     Exercise    
Contracts Open Short Equity Forwards Counterparty February 28, 2022  Expiration  Price  Value 
111 S&P 500 Index Goldman Sachs $483,637   3/18/2022  $4,385  $1,699 
105 S&P 500 Index Goldman Sachs  458,571   4/14/2022   4,385   1,821 
55 S&P 500 Index Goldman Sachs  242,621   5/20/2022   4,385   1,164 
16 S&P 500 Index Goldman Sachs  71,136   6/17/2022   4,380   303 
                   4,987 

 

PURCHASED CALL OPTIONS

                                                                

Number of     Notional Value at     Exercise    
Contracts Open Put Options Counterparty February 28, 2022  Expiration  Price  Value 
16 S&P 500 Index Goldman Sachs $69,947   3/18/2022  $4,300  $2,323 
22 S&P 500 Index Goldman Sachs  97,800   3/18/2022   4,375   2,158 
20 S&P 500 Index Goldman Sachs  89,412   3/18/2022   4,420   1,459 
21 S&P 500 Index Goldman Sachs  92,362   3/18/2022   4,450   1,195 
17 S&P 500 Index Goldman Sachs  73,105   3/18/2022   4,500   605 
13 S&P 500 Index Goldman Sachs  55,145   3/18/2022   4,575   197 
16 S&P 500 Index Goldman Sachs  69,188   3/18/2022   4,620   139 
23 S&P 500 Index Goldman Sachs  102,304   4/14/2022   4,330   3,973 
16 S&P 500 Index Goldman Sachs  72,104   4/14/2022   4,405   2,042 
14 S&P 500 Index Goldman Sachs  61,471   4/14/2022   4,445   1,434 
24 S&P 500 Index Goldman Sachs  103,738   4/14/2022   4,475   2,068 
13 S&P 500 Index Goldman Sachs  58,308   4/14/2022   4,520   895 
15 S&P 500 Index Goldman Sachs  66,302   5/20/2022   4,360   2,918 
                   21,406 
                     
PURCHASED PUT OPTIONS

                                                                

Number of     Notional Value at     Exercise    
Contracts Open Put Options Counterparty February 28, 2022  Expiration  Price  Value 
17 S&P 500 Index Goldman Sachs $73,149   3/18/2022  $2,300  $4 
17 S&P 500 Index Goldman Sachs  72,919   3/18/2022   2,400   6 
31 S&P 500 Index Goldman Sachs  136,845   3/18/2022   2,450   12 
27 S&P 500 Index Goldman Sachs  116,577   3/18/2022   2,500   12 
15 S&P 500 Index Goldman Sachs  64,635   3/18/2022   2,825   15 
31 S&P 500 Index Goldman Sachs  134,961   3/18/2022   2,875   36 
31 S&P 500 Index Goldman Sachs  134,666   3/18/2022   3,150   63 
32 S&P 500 Index Goldman Sachs  141,313   3/18/2022   3,350   100 
16 S&P 500 Index Goldman Sachs  67,914   4/14/2022   2,200   27 
16 S&P 500 Index Goldman Sachs  70,544   4/14/2022   2,350   36 
40 S&P 500 Index Goldman Sachs  175,161   4/14/2022   2,500   115 
52 S&P 500 Index Goldman Sachs  227,427   4/14/2022   2,550   160 
19 S&P 500 Index Goldman Sachs  82,729   4/14/2022   2,650   68 
26 S&P 500 Index Goldman Sachs  111,584   4/14/2022   2,700   99 
30 S&P 500 Index Goldman Sachs  132,753   4/14/2022   2,750   127 
21 S&P 500 Index Goldman Sachs  91,409   4/14/2022   2,900   109 
36 S&P 500 Index Goldman Sachs  155,583   5/20/2022   2,200   169 
22 S&P 500 Index Goldman Sachs  95,772   5/20/2022   2,250   112 
25 S&P 500 Index Goldman Sachs  107,466   5/20/2022   2,300   135 
19 S&P 500 Index Goldman Sachs  81,956   5/20/2022   2,350   110 
15 S&P 500 Index Goldman Sachs  63,932   5/20/2022   2,400   92 
18 S&P 500 Index Goldman Sachs  76,673   6/17/2022   2,200   128 
                   1,735 

                 

WRITTEN PUT OPTIONS

                 

Number of     Notional Value at     Exercise    
Contracts Open Put Options Counterparty February 28, 2022  Expiration  Price  Value 
(37) S&P 500 Index Goldman Sachs $162,158   3/18/2022  $4,065  $(1,094)
(29) S&P 500 Index Goldman Sachs  125,667   3/18/2022   4,190   (1,409)
(32) S&P 500 Index Goldman Sachs  141,313   3/18/2022   4,230   (1,861)
(21) S&P 500 Index Goldman Sachs  92,474   4/14/2022   3,960   (1,035)
(14) S&P 500 Index Goldman Sachs  60,392   4/14/2022   3,995   (745)
(19) S&P 500 Index Goldman Sachs  82,282   4/14/2022   4,075   (1,264)
(21) S&P 500 Index Goldman Sachs  91,409   4/14/2022   4,115   (1,565)
(14) S&P 500 Index Goldman Sachs  63,120   5/20/2022   3,680   (676)
(13) S&P 500 Index Goldman Sachs  55,303   5/20/2022   3,740   (670)
(17) S&P 500 Index Goldman Sachs  72,956   5/20/2022   3,850   (1,111)
(16) S&P 500 Index Goldman Sachs  69,553   5/20/2022   3,990   (1,420)
                   (9,380)
                     

See accompanying notes to financial statements.

13

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 100.0%    
    Australia - 2.3%    
 2,608,008  NEXTDC Ltd.(a) $20,397,282 
         
    Bermuda - 2.0%    
 3,335,447  Hongkong Land Holdings Ltd.  17,978,059 
         
    Canada - 1.4%    
 298,642  Canadian Apartment Properties REIT  12,428,988 
         
    Cayman Islands - 5.9%    
 3,184,185  CK Asset Holdings Ltd.  20,111,198 
 2,724,294  ESR Cayman Ltd.(a)  8,404,411 
 497,739  GDS Holdings Ltd. - ADR(a)  22,159,340 
 568,505  Wharf Real Estate Investment Company Ltd.  2,552,150 
       53,227,099 
    France - 0.7%    
 229,632  Klepierre S.A.  6,565,123 
         
    Germany - 11.9%    
 864,650  Deutsche Wohnen S.E.  35,743,279 
 1,312,274  Instone Real Estate Group A.G.  25,196,405 
 793,406  TAG Immobilien A.G.  20,453,746 
 489,472  Vonovia S.E.  25,987,390 
       107,380,820 
    Guernsey - 0.6%    
 3,376,570  Sirius Real Estate Ltd.  5,659,358 
         
    Hong Kong - 4.6%    
 5,130,009  Link REIT  41,454,056 
         
    Italy - 1.3%    
 975,325  COIMA RES SpA  8,458,815 
 353,696  Infrastrutture Wireless Italiane SpA  3,612,357 
       12,071,172 

 

See accompanying notes to financial statements.

14

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 100.0% (Continued)    
    Japan - 10.2%    
 54,099  Japan Hotel REIT Investment Corporation $27,687,318 
 3,478,949  Mitsubishi Estate Company Ltd.  53,121,243 
 2,368  Mitsui Fudosan Logistics Park, Inc.  10,827,639 
       91,636,200 
    Singapore - 2.3%    
 6,005,917  Keppel DC REIT  9,717,275 
 7,913,370  Mapletree Commercial Trust  10,611,258 
       20,328,533 
    Spain - 4.7%    
 931,734  Cellnex Telecom S.A.  42,152,066 
         
    United Kingdom - 5.8%    
 16,120,566  Assura PLC  13,268,383 
 30,400  Big Yellow Group PLC  577,972 
 5,065,725  Empiric Student Property PLC  6,008,854 
 3,371,402  Grainger PLC  12,585,238 
 411,379  Great Portland Estates PLC  3,718,453 
 1,151,221  UNITE Group PLC  16,465,627 
       52,624,527 
    United States - 46.3%    
 997,085  Acadia Realty Trust  21,377,502 
 99,117  Alexandria Real Estate Equities, Inc.  18,772,760 
 543,764  American Homes 4 Rent  20,668,470 
 1,201,624  Americold Realty Trust  32,107,393 
 1,740,137  CatchMark Timber Trust, Inc.  13,329,449 
 47,563  CBRE Group, Inc.(a)  4,606,477 
 534,310  CoreCivic, Inc.(a)  4,867,564 
 196,804  Corporate Office Properties Trust  5,158,233 
 181,485  CubeSmart  8,749,392 
 4,053,369  DigitalBridge Group, Inc.(a)  29,386,925 
 368,532  Easterly Government Properties, Inc.  7,672,836 
 892,057  Ellington Financial, Inc.  15,762,647 
 18,549  Equinix, Inc.  13,164,782 
 19,057  Extra Space Storage, Inc.  3,585,575 

 

See accompanying notes to financial statements.

15

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 100.0% (Continued)    
    United States - 46.3% (Continued)    
 224,423  Gaming and Leisure Properties, Inc. $10,191,048 
 870,412  GEO Group, Inc.(a)  5,187,655 
 533,984  Independence Realty Trust, Inc.  13,493,776 
 332,362  InvenTrust Properties Corporation  8,624,794 
 39,000  Invitation Homes, Inc.  1,474,200 
 213,704  Kilroy Realty Corporation  15,305,480 
 102,114  National Retail Properties, Inc.  4,351,078 
 148,584  Prologis, Inc.  21,670,976 
 1,190,148  Retail Opportunity Investments Corporation  21,613,088 
 9,285  SBA Communications Corporation  2,816,976 
 191,039  Sun Communities, Inc.  34,578,060 
 515,556  Ventas, Inc.  27,840,024 
 927,074  VICI Properties, Inc.  25,920,989 
 608,580  Washington Real Estate Investment Trust  14,216,429 
 94,586  Welltower, Inc.  7,878,068 
 82,096  Weyerhaeuser Company  3,191,892 
       417,564,538 
         
    TOTAL COMMON STOCKS (Cost $1,089,108,372)  901,467,821 
         
    TOTAL INVESTMENTS - 100.0% (Cost $1,089,108,372) $901,467,821 
    LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0%  (346,905)
    NET ASSETS - 100.0% $901,120,916 
         
ADR- American Depositary Receipt

 

LTD.- Limited Company

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

S.A.- Société Anonyme

 

(a)Non-income producing security.

 

See accompanying notes to financial statements.

16

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Forward Currency Contracts

Settlement Units to       US Dollar    Unrealized 
Date Receive/Deliver  Counterparty In Exchange For  Value    Appreciation/(Depreciation) 
To Sell:                    
3/2/2022 (2,056,926) EUR  Brown Brothers Harriman $(2,305,505) USD  $(2,306,746)   $(1,241)
                Total Unrealized: $(1,241)

 

Currency Abbreviations:

 

EUR- Euro

 

See accompanying notes to financial statements.

17

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2022

 

Shares    Fair Value 
    CLOSED END FUNDS — 9.9%    
    FIXED INCOME - 9.9%    
 10,000  Allspring Income Opportunities $79,500 
 6,500  Apollo Tactical Income Fund, Inc.  95,420 
 310  BlackRock Core Bond Trust  4,182 
 917  BlackRock Corporate High Yield Fund, Inc.  9,913 
 482  BlackRock Credit Allocation Income Trust  6,208 
 1  BlackRock Limited Duration Income Trust  14 
 20,000  Blackstone / GSO Strategic Credit Fund  264,401 
 2,000  DoubleLine Income Solutions Fund  29,140 
 4,000  Eaton Vance Ltd. Duration Income Fund  46,880 
 9,058  First Trust High Income Long/Short Fund  125,091 
 20,000  Invesco Senior Income Trust  87,200 
 1,939  Neuberger Berman High Yield Strategies Fund  21,600 
 1  Nuveen Credit Strategies Income Fund  6 
 7,000  Nuveen Global High Income Fund  100,450 
 4,000  Nuveen Preferred & Income Term Fund  90,000 
 8,836  Nuveen Senior Income Fund  50,365 
 7,000  PGIM Global High Yield Fund, Inc.  98,280 
 10,000  PGIM High Yield Bond Fund, Inc.  145,800 
 100  Western Asset High Income Opportunity Fund, Inc.  464 
       1,254,914 
         
    TOTAL CLOSED END FUNDS (Cost $1,264,979)  1,254,914 
         
    COMMON STOCKS — 65.7%    
    AEROSPACE & DEFENSE - 0.3%    
 537  Mercury Systems, Inc.(a),(b)  32,338 
         
    APPAREL & TEXTILE PRODUCTS - 1.0%    
 1,263  Canada Goose Holdings, Inc.(a),(b)  32,964 
 219  Carter’s, Inc.(a)  21,173 
 1,920  Figs, Inc.(b)  31,546 
 895  Skechers USA, Inc.(a),(b)  41,152 
       126,835 

 

See accompanying notes to financial statements.

18

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    ASSET MANAGEMENT - 0.7%    
 668  Hamilton Lane, Inc.(a) $52,170 
 188  LPL Financial Holdings, Inc.  34,019 
       86,189 
    BANKING - 2.1%    
 800  Atlantic Capital Bancshares, Inc.(b)  25,872 
 1,112  Eagle Bancorp Montana, Inc.(a)  24,575 
 3,200  Investors Bancorp, Inc.(a)  53,568 
 6,000  People’s United Financial, Inc.(a)  126,480 
 1,100  TriState Capital Holdings, Inc.(a),(b)  36,520 
       267,015 
    BEVERAGES - 0.3%    
 2,450  Primo Water Corporation(a)  35,623 
         
    BIOTECH & PHARMA - 0.4%    
 200  Arena Pharmaceuticals, Inc.(a),(b)  18,994 
 1,302  TransMedics Group, Inc.(a),(b)  24,113 
       43,107 
    CHEMICALS - 0.2%    
 500  Kraton Corporation(b)  23,075 
         
    COMMERCIAL SUPPORT SERVICES - 0.8%    
 127  Avalara, Inc.(a),(b)  13,197 
 983  Clean Harbors, Inc.(a),(b)  93,807 
       107,004 
    CONSTRUCTION MATERIALS - 0.5%    
 2,600  Forterra, Inc.(a),(b)  61,256 
         
    DATA CENTER REIT - 3.1%    
 3,200  CyrusOne, Inc.(a)  289,119 
 74  Equinix, Inc.  52,520 
 23,021  Keppel DC REIT  37,185 
       378,824 
    E-COMMERCE DISCRETIONARY - 0.7%    
 2,001  Leslie’s, Inc.(a),(b)  42,641 

 

See accompanying notes to financial statements.

19

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    E-COMMERCE DISCRETIONARY - 0.7% (Continued)    
 877  Revolve Group, Inc.(a),(b) $41,596 
       84,237 
    ELECTRICAL EQUIPMENT - 0.3%    
 673  BWX Technologies, Inc.(a)  35,952 
         
    ENGINEERING & CONSTRUCTION - 1.4%    
 3,392  Cellnex Telecom S.A.  154,594 
 1,261  Infrastrutture Wireless Italiane SpA  12,886 
       167,480 
    ENTERTAINMENT CONTENT - 0.6%    
 800  Activision Blizzard, Inc.(a)  65,200 
 1,200  Sciplay Corporation(b)  15,648 
 1,600  Zynga, Inc.(b)  14,528 
       95,376 
    FOOD - 0.5%    
 1,746  TreeHouse Foods, Inc.(a),(b)  68,531 
         
    FORESTRY, PAPER & WOOD PRODUCTS - 0.2%    
 900  Verso Corporation  23,859 
         
    GAMING REIT - 0.8%    
 3,551  VICI Properties, Inc.  99,286 
         
    GAMING REITS - 0.3%    
 882  Gaming and Leisure Properties, Inc.  40,052 
         
    HEALTH CARE FACILITIES & SERVICES - 0.7%    
 532  Accolade, Inc.(a),(b)  9,565 
 2,057  NeoGenomics, Inc.(a),(b)  44,041 
 861  Progyny, Inc.(a),(b)  33,889 
       87,495 
    HEALTH CARE REIT - 2.1%    
 56,801  Assura PLC  47,048 
 3,780  Global Medical REIT, Inc.(a)  59,346 

 

See accompanying notes to financial statements.

20

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    HEALTH CARE REIT - 2.1% (Continued)    
 300  Healthcare Trust of America, Inc. $8,817 
 1,859  Ventas, Inc.  100,386 
 421  Welltower, Inc.  35,065 
       250,662 
    HOTEL REITS - 0.8%    
 191  Japan Hotel REIT Investment Corporation  97,530 
         
    INDUSTRIAL REIT - 1.8%    
 4,947  Americold Realty Trust(a)  132,183 
 626  Prologis, Inc.  91,302 
       223,485 
    INDUSTRIAL SUPPORT SERVICES - 0.3%    
 696  Ritchie Bros Auctioneers, Inc.(a)  36,456 
         
    INFRASTRUCTURE REIT - 0.3%    
 138  SBA Communications Corporation  41,868 
         
    INSURANCE - 1.5%    
 900  Willis Towers Watson PLC(a)  200,070 
         
    INTERNET MEDIA & SERVICES - 0.2%    
 182  Fiverr International Ltd.(a),(b)  14,362 
 722  Marqeta, Inc.(b)  8,469 
       22,831 
    LEISURE FACILITIES & SERVICES - 2.1%    
 900  Cineplex, Inc.(b)  9,826 
 1,100  Del Taco Restaurants, Inc.  13,728 
 3,691  Norwegian Cruise Line Holdings Ltd.(a),(b)  71,937 
 989  Red Rock Resorts, Inc.(a)  49,727 
 648  Shake Shack, Inc.(a),(b)  48,419 
 278  Sportradar Group A.G.(b)  4,073 
 111  Sweetgreen, Inc.(b)  2,812 
 460  Wingstop, Inc.(a)  66,860 
       267,382 

 

See accompanying notes to financial statements.

21

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    MEDICAL EQUIPMENT & DEVICES - 0.8%    
 409  Axonics, Inc.(a),(b) $23,215 
 317  CareDx, Inc.(a),(b)  12,166 
 137  Inspire Medical Systems, Inc.(a),(b)  33,436 
 1,079  Silk Road Medical, Inc.(a),(b)  40,064 
       108,881 
    MULTI ASSET CLASS REIT - 1.2%    
 4,486  DigitalBridge Group, Inc.(b)  32,524 
 2,669  Great Portland Estates PLC  24,363 
 31,439  Mapletree Commercial Trust  41,971 
 2,135  Washington Real Estate Investment Trust  49,874 
       148,732 
    OFFICE OWNERS & DEVELOPERS - 0.1%    
 1,415  COIMA RES SpA  12,298 
         
    OFFICE REIT - 1.6%    
 633  Alexandria Real Estate Equities, Inc.  119,890 
 684  Corporate Office Properties Trust  17,928 
 1,441  Easterly Government Properties, Inc.  30,002 
 755  Kilroy Realty Corporation  54,073 
       221,893 
    OIL & GAS PRODUCERS - 0.3%    
 2,500  BP Midstream Partners, L.P.  41,575 
         
    PUBLISHING & BROADCASTING - 0.2%    
 1,000  Houghton Mifflin Harcourt Company(b)  20,950 
         
    REAL ESTATE INVESTMENT TRUSTS - 0.9%    
 3,240  Ellington Financial, Inc.  57,251 
 210  Invitation Homes, Inc.  7,938 
 9  Mitsui Fudosan Logistics Park, Inc.  41,102 
       106,291 

 

See accompanying notes to financial statements.

22

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    REAL ESTATE OWNERS & DEVELOPERS - 5.5%    
 11,192  CK Asset Holdings Ltd. $70,678 
 1,700  Deutsche Wohnen S.E.  70,940 
 11,869  Grainger PLC  44,865 
 11,305  Hongkong Land Holdings Ltd.  60,934 
 4,662  Instone Real Estate Group A.G.  89,716 
 12,290  Mitsubishi Estate Company Ltd.  187,840 
 13,289  Sirius Real Estate Ltd.  22,389 
 2,788  TAG Immobilien A.G.  71,850 
 1,718  Vonovia S.E.  91,516 
       710,728 
    REAL ESTATE SERVICES - 0.7%    
 610  CBRE Group, Inc., Class A(b)  59,079 
 9,552  ESR Cayman Ltd.(b)  29,519 
       88,598 
    RESIDENTIAL REIT - 2.7%    
 1,783  American Homes 4 Rent  67,772 
 1,055  Canadian Apartment Properties REIT  43,907 
 1,884  Independence Realty Trust, Inc.  47,609 
 681  Sun Communities, Inc.  123,261 
 4,043  UNITE Group PLC  57,920 
       340,469 
    RETAIL - CONSUMER STAPLES - 1.4%    
 411  Five Below, Inc.(a),(b)  67,243 
 1,261  Ollie’s Bargain Outlet Holdings, Inc.(a),(b)  54,450 
 1,162  OptimizeRx Corporation(a),(b)  52,627 
       174,320 
    RETAIL - DISCRETIONARY - 0.5%    
 499  Designer Brands, Inc.(a),(b)  6,512 
 565  Driven Brands Holdings, Inc.(b)  16,594 
 800  Kohl’s Corporation  44,496 
       67,602 
    RETAIL OWNERS & DEVELOPERS - 0.1%    
 15,626  Empiric Student Property PLC  18,445 

 

See accompanying notes to financial statements.

23

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    RETAIL REIT - 2.2%    
 883  Acadia Realty Trust $18,932 
 1,160  InvenTrust Properties Corporation  30,102 
 16,113  Link REIT  130,104 
 591  National Retail Properties, Inc.  25,183 
 4,519  Retail Opportunity Investments Corporation  82,065 
       286,386 
    SELF-STORAGE REIT - 0.3%    
 100  Big Yellow Group PLC  1,898 
 644  CubeSmart  31,047 
 68  Extra Space Storage, Inc.  12,794 
       45,739 
    SEMICONDUCTORS - 0.8%    
 400  Coherent, Inc.(a),(b)  105,728 
         
    SOFTWARE - 14.4%    
 140  Alkami Technology, Inc.(b)  2,206 
 380  Alteryx, Inc.(a),(b)  23,674 
 113  AvidXchange Holdings, Inc.(b)  1,088 
 342  Bandwidth, Inc.(a),(b)  10,448 
 481  Black Knight, Inc.(a),(b)  27,027 
 1,005  Blackline, Inc.(a),(b)  75,687 
 700  Bottomline Technologies DE, Inc.(b)  39,648 
 162  Braze, Inc.(b)  6,835 
 222  C3.ai, Inc.(a),(b)  4,977 
 4,467  Cantaloupe, Inc.(a),(b)  34,709 
 1,500  Cerner Corporation  139,875 
 500  Change Healthcare, Inc.(b)  10,710 
 500  Citrix Systems, Inc.(a)  51,250 
 309  CS Disco, Inc.(b)  11,674 
 1,129  Domo, Inc.(a),(b)  50,241 
 1,208  Dynatrace, Inc.(a),(b)  53,659 
 5,448  eGain Corporation(a),(b)  64,232 
 221  Expensify, Inc.(b)  4,531 
 475  Guidewire Software, Inc.(a),(b)  41,871 

 

See accompanying notes to financial statements.

24

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    SOFTWARE - 14.4% (Continued)    
 635  Health Catalyst, Inc.(a),(b) $17,221 
 2,348  Jamf Holding Corporation(a),(b)  80,325 
 598  JFrog Ltd.(a),(b)  14,812 
 1,700  McAfee Corporation  44,183 
 3,100  Mimecast Ltd.(a),(b)  246,543 
 600  Momentive Global, Inc.(b)  9,432 
 1,324  N-Able, Inc.(a),(b)  15,319 
 679  nCino, Inc.(a),(b)  31,186 
 5,200  Nuance Communications, Inc.(a),(b)  288,703 
 913  Nutanix, Inc.(a),(b)  24,377 
 529  Paycor HCM, Inc.(b)  14,849 
 263  Paylocity Holding Corporation(a),(b)  55,872 
 49  Paymentus Holdings, Inc.(b)  1,129 
 935  Phreesia, Inc.(a),(b)  28,789 
 1,149  Ping Identity Holding Corporation(a),(b)  24,175 
 112  Privia Health Group, Inc.(b)  2,883 
 50  Procore Technologies, Inc.(b)  3,260 
 1,231  PROS Holdings, Inc.(a),(b)  39,121 
 842  Sailpoint Technologies Holdings, Inc.(a),(b)  34,834 
 198  Signify Health, Inc.(b)  2,782 
 395  Sprinklr, Inc.(b)  4,740 
 445  Sprout Social, Inc.(a),(b)  28,974 
 1,446  Tenable Holdings, Inc.(a),(b)  80,051 
 425  Vertex, Inc.(a),(b)  5,920 
 6,181  Zeta Global Holdings Corporation(a),(b)  80,415 
       1,834,237 
    SPECIALTY FINANCE - 0.3%    
 48  Flywire Corporation(b)  1,299 
 2,004  International Money Express, Inc.(a),(b)  32,184 
       33,483 
    TECHNOLOGY HARDWARE - 0.2%    
 899  Pure Storage, Inc.(a),(b)  23,320 

 

See accompanying notes to financial statements.

25

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — 65.7% (Continued)    
    TECHNOLOGY SERVICES - 4.0%    
 641  Repay Holdings Corporation(a),(b) $11,070 
 1,192  S&P Global, Inc.  447,820 
 751  Shift4 Payments, Inc.(a),(b)  39,540 
 91  WEX, Inc.(a),(b)  15,334 
       513,764 
    TELECOMMUNICATIONS - 1.3%    
 2,011  GDS Holdings Ltd. - ADR(b)  89,530 
 9,173  NEXTDC Ltd.(b)  70,808 
 200  Vonage Holdings Corporation(b)  4,064 
       164,402 
    TIMBER REIT - 0.8%    
 6,316  CatchMark Timber Trust, Inc.  48,381 
 1,402  Weyerhaeuser Company  54,510 
       102,891 
    TRANSPORTATION & LOGISTICS - 1.2%    
 3,360  AFC Gamma, Inc.(a)  66,360 
 1,128  CryoPort, Inc.(a),(b)  38,724 
 987  Knight-Swift Transportation Holdings, Inc.(a)  53,772 
       158,856 
    TRANSPORTATION EQUIPMENT - 0.0%(c)    
 100  Meritor, Inc.(b)  3,561 
         
    WHOLESALE - DISCRETIONARY - 0.2%    
 854  IAA, Inc.(a),(b)  31,376 
         
    TOTAL COMMON STOCKS (Cost $8,508,812)  8,368,343 
         
    EXCHANGE-TRADED FUNDS — 4.0%    
    EQUITY - 0.4%    
 1  ProShares UltraPro Short S&P 500(b)  15 
 3,001  ProShares UltraShort Russell2000(b)  45,015 
       45,030 

 

See accompanying notes to financial statements.

26

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

Shares        Fair Value 
    EXCHANGE-TRADED FUNDS — 4.0% (Continued)        
    FIXED INCOME - 3.6%        
 15,000  Invesco Senior Loan ETF     $326,550 
 1  iShares 0-5 Year High Yield Corporate Bond ETF      44 
 1  iShares Preferred & Income Securities ETF      36 
 7,001  ProShares UltraShort 20+ Year Treasury(b)      130,219 
           456,849 
             
    TOTAL EXCHANGE-TRADED FUNDS (Cost $520,336)      501,879 
             
    OPEN END FUNDS — 5.4%        
    FIXED INCOME - 5.4%        
 63,495  Easterly Income Opportunities Fund, Class R6(d)      684,479 
             
    TOTAL OPEN END FUNDS (Cost $708,437)      684,479 
             
Principal    Coupon Rate      
Amount ($)    (%) Maturity    
    CORPORATE BONDS — 1.6%        
    METALS & MINING — 1.6%        
 200,000  Taseko Mines Ltd.(e) 7.0000 02/15/26  200,229 
             
    TOTAL CORPORATE BONDS (Cost $205,355)      200,229 
             
    TOTAL INVESTMENTS - 86.6% (Cost $11,207,919)     $11,009,844 
    OTHER ASSETS IN EXCESS OF LIABILITIES- 13.4%      1,701,459 
    NET ASSETS - 100.0%     $12,711,303 

 

See accompanying notes to financial statements.

27

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited)
February 28, 2022

 

Shares    Fair Value 
    COMMON STOCKS — (6.6)%    
    ASSET MANAGEMENT - (0.3)%    
 (300) Raymond James Financial, Inc. $(32,895)
         
    BANKING - (1.6)%    
 (950) Citizens Financial Group, Inc.  (49,799)
 (709) M&T Bank Corporation  (129,201)
 (288) SouthState Corporation  (25,920)
 (2) Webster Financial Corporation  (120)
       (205,040)
    BIOTECH & PHARMA - (0.1)%    
 (1,597) Sinovac Biotech Ltd. (f)  (10,333)
         
    ENTERTAINMENT CONTENT - 0.0% (a)    
 (38) Take-Two Interactive Software, Inc.  (6,156)
         
    HEALTH CARE REIT - (0.1)%    
 (300) Healthcare Realty Trust, Inc.  (7,824)
         
    INSURANCE - (0.4)%    
 (193) Aon PLC  (56,383)
         
    LEISURE FACILITIES & SERVICES - (0.1)%    
 (300) Scientific Games Corporation  (18,876)
         
    OIL & GAS PRODUCERS - (0.3)%    
 (1,437) BP PLC - ADR(b)  (41,975)
         
    SEMICONDUCTORS - (0.2)%    
 (364) II-VI, Inc.  (25,283)
         
    TECHNOLOGY SERVICES - (3.5)%    
 (1,190) S&P Global, Inc.  (447,083)
         

See accompanying notes to financial statements.

28

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited) (Continued)
February 28, 2022

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — (7.4)%    
    EQUITY - (7.4)%    
 (1,602) iShares Russell 2000 ETF, EQUITY $(325,719)
 (2,361) iShares Russell 2000 Growth ETF  (602,362)
       (928,081)
         
    TOTAL SECURITIES SOLD SHORT - (Proceeds - $1,318,659) $(1,779,929)

 

ADR- American Depositary Receipt

 

ETF- Exchange-Traded Fund

 

LP- Limited Partnership

 

LTD- Limited Company

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

S/A- Société Anonyme

 

(a)All or a portion of security segregated as collateral for short sales.

 

(b)Non-income producing security.

 

(c)Percentage rounds to less than 0.1%.

 

(d)Affiliated investment.

 

(e)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2022 the total market value of 144A securities is 200,229 or 1.6% of net assets.

 

(f)The value of this security has been determined in good faith under policies of the Board of Trustees.

 

See accompanying notes to financial statements.

29

 

EASTERLY HEDGED EQUITY FUND
SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2022

 

Shares              Fair Value 
    EXCHANGE-TRADED FUNDS — 88.8%       
    EQUITY - 88.8%        
 111,000  SPDR S&P 500 ETF Trust(a)     $48,465,930 
                     
    TOTAL EXCHANGE-TRADED FUNDS (Cost $39,111,475)      48,465,930 
                   
Contracts(b)   Counterparty Expiration Date Exercise Price  Notional Value     
    INDEX OPTIONS PURCHASED - 4.4%        
    PUT OPTIONS PURCHASED - 4.4%        
 15  S&P 500 Index PER 03/04/2022 $4,410  $6,560,910   110,775 
 135  S&P 500 Index PER 03/04/2022  4,480   59,048,190   1,624,050 
 100  S&P 500 Index PER 03/18/2022  4,250   43,739,400   652,000 
    TOTAL INDEX OPTIONS PURCHASED (Cost - $1,464,810)      2,386,825 
                     
    TOTAL INVESTMENTS - 93.2% (Cost $40,576,285)     $50,852,755 
    CALL OPTIONS WRITTEN - (0.7)% (Proceeds - $253,985)      (387,525)
    PUT OPTIONS WRITTEN - (1.1)% (Proceeds - $507,578)      (577,925)
    OTHER ASSETS IN EXCESS OF LIABILITIES- 8.6%      4,685,360 
    NET ASSETS - 100.0%     $54,572,665 
                     
     Counterparty Expiration Date Exercise Price  Notional Value     
    WRITTEN EQUITY OPTIONS - (0.7)%        
    CALL OPTIONS WRITTEN- (0.7)%        
 50  SPDR S&P 500 ETF Trust PER 03/11/2022 $435  $2,183,150  $44,675 
 150  SPDR S&P 500 ETF Trust PER 03/18/2022  435   6,549,450   162,675 
 400  SPDR S&P 500 ETF Trust PER 03/18/2022  448   17,465,200   163,400 
 50  SPDR S&P 500 ETF Trust PER 03/18/2022  450   2,183,150   16,775 
    TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $253,985)      387,525 
                     
                     
    WRITTEN INDEX OPTIONS - (1.1)%        
    PUT OPTIONS WRITTEN - (1.1)%        
 15  S&P 500 Index PER 03/04/2022  4,180   6,560,910   19,425 
 135  S&P 500 Index PER 03/04/2022  4,255   59,048,190   310,500 
 100  S&P 500 Index PER 03/18/2022  4,000   43,739,400   248,000 
    TOTAL INDEX OPTIONS WRITTEN (Proceeds - $507,578)      577,925 
                     
ETF- Exchange-Traded Fund

 

SPDR- Standard & Poor’s Depositary Receipt

 

PER- Pershing

 

(a)All or a portion of this security is held as collateral for written options.

 

(b)Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

 

See accompanying notes to financial statements.

30

 

EASTERLY HEDGED EQUITY FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
February 28, 2022

 

   TOTAL RETURN SWAPS - (2.6) %              
Notional         Expiration Pay/Receive Variable Unrealized 
Amount  Reference Entity Shares  Counterparty Date Fixed Rate Rate (%) Gain/(Loss) 
$21,966,860  SPY SPDR SP 500 ETF Trust  47,000  Goldman Sachs 12/9/2022 Pay 0.0800 $(1,409,697)

                 

*Variable rate is Federal Funds Rate plus 0.55%

 

See accompanying notes to financial statements.

31

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
February 28, 2022

 

  Easterly  Easterly  Easterly  Easterly 
  Global Macro  Global Real Estate  Multi Strategy  Hedged Equity 
  Fund  Fund  Alternative Income  Fund 
  (Consolidated)     Fund    
Assets:                
Investments in Affiliates, at cost $2,646,499  $  $708,437  $ 
Investments in Unaffiliated securities, at cost  3,524,904   1,089,108,372   10,499,482   40,576,285 
Total Investments, at cost $6,171,403  $1,089,108,372  $11,207,919  $40,576,285 
                 
Investments Affiliates, at value $2,577,745  $  $684,479  $ 
Investments in Unaffiliated securities, at value  3,462,343   901,467,821   10,325,365   50,852,755 
Total Investments, at value $6,040,088  $901,467,821  $11,009,844   50,852,755 
Cash  339,963   1,382,606   3,295,490   8,037,006 
Foreign Cash (Cost $19, $42,809, $0, $0)  19   42,487       
Deposit at Broker  965,567      268,935   290,855 
Unrealized appreciation on swaps  662,053          
Receivable from manager  8,568          
Interest and dividends receivable  109   1,151,923   7,605    
Unrealized appreciation on forward currency contracts  8          
Receivable for securities sold     2,306,746   34,976   429,645 
Receivable for fund shares sold     613,714      15,054 
Prepaid expenses and other assets  15,443   327,775   6,697   29,441 
Total Assets  8,031,818   907,293,072   14,623,547   59,654,756 
                 
Liabilities:                
Options written (premiums received $0, $0, $0, $0, $761,563)           965,450 
Securities sold short (Proceeds $0, $0, $1,318,659, $0)        1,779,929    
Foreign Cash Overdraft (cost $0, $0, $7,686, $0)        7,630    
Trustee fees payable  6,220   6,464   6,755   5,262 
Custody fees payable  3,410   32,795   11,383   1,685 
Administration fees payable  3,403   163,998   4,528   19,947 
Compliance officer fees payable  1,428   969   1,428   1,389 
Payable for fund shares redeemed  526   1,183,791      139,606 
Payable for distribution (12b-1) fees  259   217,470   176   1,613 
Payable for securities purchased     3,668,819   63,294   2,488,839 
Payable to manager     830,526   3,826   23,502 
Unrealized depreciation on forward currency contracts     1,241       
Unrealized depreciation on swaps           1,409,697 
Dividend Payable        1,534    
Accrued expenses and other liabilities  24,243   66,083   31,761   25,101 
Total Liabilities  39,489   6,172,156   1,912,244   5,082,091 
                 
Net Assets $7,992,329  $901,120,916  $12,711,303  $54,572,665 
                 
Net Assets:                
Par value of shares of beneficial interest $9,252  $500,871  $14,721  $53,309 
Paid in capital  10,968,055   1,074,750,551   13,279,692   56,150,558 
Accumulated losses  (2,984,978)  (174,130,506)  (583,110)  (1,631,202)
Net Assets $7,992,329  $901,120,916  $12,711,303  $54,572,665 
                 
Net Asset Value Per Share                
Class A                
Net Assets     $117,302,917  $509,746  $1,555,040 
Shares of beneficial interest outstanding      6,790,799   59,198   154,963 
Net asset value, redemption price per share     $17.27  $8.61  $10.03 
Offering price per share (maximum sales charge of 0.00%, 5.75%, 2.00% and 5.75%, respectively)     $18.32  $8.79  $10.64 
                 
Class C                
Net Assets     $66,430,721  $14,096  $501,080 
Shares of beneficial interest outstanding      3,825,420   1,690   50,578 
Net asset value, offering price per share (a)     $17.37  $8.34  $9.91 
                 
Class I                
Net Assets $3,594,616  $685,961,151  $12,177,374  $36,337,263 
Shares of beneficial interest outstanding  420,139   37,764,402   1,410,108   3,573,750 
Net asset value, redemption price and offering price per share $8.56  $18.16  $8.64  $10.17 
                 
Class R6                
Net Assets $4,397,713  $31,426,127  $10,087  $16,179,282 
Shares of beneficial interest outstanding  505,107   1,706,505   1,141   1,551,656 
Net asset value, redemption price and offering price per share $8.71  $18.42  $8.84  $10.43 
                 
(a)Redemption price per C share varies based on length of time shares are held.

 

See accompanying notes to financial statements.

32

 

STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended February 28, 2022

 

  Easterly  Easterly  Easterly  Easterly 
  Global Macro  Global Real Estate  Multi Strategy  Hedged Equity 
  Fund  Fund  Alternative Income  Fund 
  (Consolidated)     Fund    
Investment Income:                
Dividend income $88,087  $10,763,815  $189,334  $308,894 
Interest income  6   252   1,577   53 
Dividend income from Affiliates  74,876      12,606    
Less: Foreign withholding taxes     (169,829)  (866)   
Total Investment Income  162,969   10,594,238   202,651   308,947 
                 
Operating Expenses:                
Management fees  46,867   4,101,021   132,267   321,767 
Distribution (12b-1) fees                
Class A Shares     148,754   651   2,020 
Class C Shares     359,073   74   2,999 
Administration fees  23,149   314,949   22,793   40,897 
Custodian fees  16,410   63,477   27,874   10,855 
Registration fees  15,874   62,178   7,503   24,080 
Legal fees  11,954   8,700   8,700   8,700 
Audit fees  8,431   20,828   7,687   9,421 
Trustees’ fees  6,962   6,962   6,962   6,962 
Compliance officer fees  3,843   3,843   3,843   3,843 
Printing and postage expense  3,809   80,926   4,324   11,505 
Interest Expense  3,500      68,121   10,647 
Shareholder servicing fees  3,162   291,643   164   25,613 
Insurance expense  129   17,108   273   843 
Dividend Expense        15,247    
Miscellaneous expenses  2,123   1,488   1,488   1,488 
Total Operating Expenses  146,213   5,480,950   307,971   481,640 
Less: Expenses waived and/or reimbursed  (93,030)  (200,077)  (92,557)  (148,284)
Net Operating Expenses  53,183   5,280,873   215,414   333,356 
                 
Net Investment Income (Loss)  109,786   5,313,365   (12,763)  (24,409)
                 
Realized and Unrealized Gain (Loss) on Investments:                
Net realized gain (loss) from:                
Investments and Foreign currency transactions  108,904   34,491,952   581,895   643,183 
Affiliated Investments  61,920      5,831    
Securities sold short        (409,003)   
Options purchased  (20,807)        (3,772,918)
Options written  30,302         4,481,789 
Swaps  (3,066)        789,182 
Net realized gain  177,253   34,491,952   178,723   2,141,236 
                 
Net change in unrealized appreciation (depreciation) on:                
Investments and Foreign currency transactions  (209,788)  (63,276,092)  (1,659,001)  (2,142,154)
Affiliated Investments  (146,245)     (23,958)   
Options purchased           1,640,160 
Options written           (494,097)
Securities sold short        641,022    
Swaps  (206,389)        (1,409,697)
Net change in unrealized depreciation  (562,422)  (63,276,092)  (1,041,937)  (2,405,788)
                 
Net Realized and Unrealized Loss on investments  (385,169)  (28,784,140)  (863,214)  (264,552)
                 
Net Decrease in Net Assets Resulting From Operations $(275,383) $(23,470,775) $(875,977) $(288,961)
                 

See accompanying notes to financial statements.

33

 

STATEMENTS OF CHANGES IN NET ASSETS

 

  Easterly  Easterly 
  Global Macro Fund  Global Real Estate Fund 
  (Consolidated)    
  Six Months Ended  Year Ended  Six Months Ended  Year Ended 
  February 28, 2022  August 31, 2021  February 28, 2022  August 31, 2021 
  (Unaudited)     (Unaudited)    
Operations:            
Net investment income $109,786  $151,884  $5,313,365  $7,017,550 
Net realized gain on investments, options, swaps and foreign currency transactions  177,253   333,792   34,491,952   66,259,354 
Distribution of realized gains by underlying investment companies     1,542       
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currency transactions  (562,422)  623,250   (63,276,092)  153,550,412 
Net increase (decrease) in net assets resulting from operations  (275,383)  1,110,468   (23,470,775)  226,827,316 
                 
Distributions to Shareholders:                
Total Distributions Paid:                
Class A        (7,963,842)  (8,868,934)
Class C        (4,586,770)  (5,974,859)
Class I  (385,496)     (44,505,373)  (52,450,299)
Class R6  (506,914)     (2,093,691)  (3,011,924)
Total Dividends and Distributions to Shareholders  (892,410)     (59,149,676)  (70,306,016)
                 
Share Transactions of Beneficial Interest:                
Beneficial Interest:                
Net proceeds from shares sold                
Class A     548,771   11,205,832   26,087,332 
Class C        2,591,854   6,482,935 
Class I  146,688   1,554,963 *  123,711,349   176,356,375 
Class R6  524,657   3,099,330   6,132,327   8,289,805 
Reinvestment of dividends and distributions                
Class A        6,912,921   6,959,103 
Class C        3,875,002   4,645,136 
Class I  322,255      29,857,851   32,278,948 
Class R6  259,806      1,933,029   2,767,217 
Cost of shares redeemed                
Class A     (712,389) *  (8,431,861)  (21,783,889)
Class C     (319,081) *  (9,125,174)  (14,944,020)
Class I  (76,197)  (4,559,893)  (83,907,443)  (191,507,550)
Class R6  (763,950)  (1,311,366)  (5,781,207)  (17,301,151)
                 
Net increase (decrease) in net assets from share transactions of beneficial interest  413,259   (1,699,665)  78,974,480   18,330,241 
                 
Total Decrease in Net Assets  (754,534)  (589,197)  (3,645,971)  174,851,541 
                 
Net Assets:                
Beginning of year/period  8,746,863   9,336,060   904,766,887   729,915,346 
End of year/period $7,992,329  $8,746,863  $901,120,916  $904,766,887 
                 
Share Activity                
Shares sold                
Class A     58,507   609,805   1,447,209 
Class C        138,616   358,950 
Class I  15,943   163,382 *  6,422,993   9,640,463 
Class R6  56,306   312,630   315,617   452,945 
Shares Reinvested                
Class A        381,499   410,411 
Class C        212,462   272,684 
Class I  36,871      1,568,912   1,821,853 
Class R6  29,224      100,215   154,821 
Shares Redeemed                
Class A     (74,331) *  (461,849)  (1,266,516)
Class C     (35,480) *  (497,505)  (862,722)
Class I  (8,111)  (476,994)  (4,425,960)  (10,884,194)
Class R6  (82,625)  (138,280)  (304,419)  (929,981)
Net increase (decrease) in shares of beneficial interest  47,608   (190,566)  4,060,386   615,923 
                 
*Share Transactions of Beneficial Interest and Share Activity include the Conversion of Class A and C shares into I shares as of the close of business March 19, 2021.

 

See accompanying notes to (consolidated) financial statements.

34

 

STATEMENTS OF CHANGES IN NET ASSETS

 

  Easterly Multi Strategy  Easterly 
  Alternative Income Fund  Hedged Equity Fund 
             
  Six Months Ended  Year Ended  Six Months Ended  Year Ended 
  February 28, 2022  August 31, 2021  February 28, 2022  August 31, 2021 
  (Unaudited)     (Unaudited)    
Operations:                
Net investment income (loss)  (12,763) $117,207  $(24,409) $(222,253)
Net realized gain (loss) on investments securities sold short, options and swaps  178,723   1,103,181   2,141,236   (1,183,378)
Distribution of realized gains by underlying investment companies     287       
Net change in unrealized appreciation (depreciation) on investments  (1,041,937)  723,841   (2,405,788)  6,191,613 
Net increase (decrease) in net assets resulting from operations  (875,977)  1,944,516   (288,961)  4,785,982 
                 
Distributions to Shareholders:                
Total Distributions Paid:                
Class A  (35,417)  (348)  (159,840)  (117,453)
Class C  (1,003)  (5,930)  (46,485)  (89,191)
Class I  (850,270)  (1,199,291)  (3,349,453)  (2,714,717)
Class R6  (812)  (45,105)  (1,728,423)  (509,805)
Total Dividends and Distributions to Shareholders  (887,502)  (1,250,674)  (5,284,201)  (3,431,166)
                 
Share Transactions of Beneficial Interest:                
Beneficial Interest:                
Net proceeds from shares sold                
Class A  61,512   486,620   146,308   816,869 
Class C     9   58,000   114,916 
Class I  30,000   158,369   9,721,436   11,255,894 
Class R6     8,694   1,393,757   11,960,114 
Reinvestment of dividends and distributions                
Class A  31,955   348   148,171   108,960 
Class C  1,003   5,930   41,686   89,191 
Class I  850,067   1,199,158   1,869,684   1,582,085 
Class R6  812   22,495   1,035,979   335,590 
Cost of shares redeemed                
Class A     (532)  (468,561)  (609,057)
Class C  (1,994)  (60,227)  (293,910)  (1,249,874)
Class I  (31,939)  (1,634,926)  (5,170,655)  (21,367,349)
Class R6  (18,090)  (760,026)  (2,428,573)  (4,461,045)
Net increase (decrease) in net assets from share transactions of beneficial interest  923,326   (574,088)  6,053,322   (1,423,706)
                 
Total Increase (decrease) in Net Assets  (840,153)  119,754   480,160   (68,890)
                 
Net Assets:                
Beginning of year/period  13,551,456   13,431,702   54,092,505   54,161,395 
End of year/period $12,711,303  $13,551,456  $54,572,665  $54,092,505 
                 
Share Activity                
Shares sold                
Class A  6,240   49,006   13,101   74,276 
Class C     1   5,409   11,320 
Class I  3,009   16,478   924,929   1,039,218 
Class R6     899   126,213   1,048,515 
Shares Reinvested                
Class A  3,541   37   14,344   10,558 
Class C  114   652   4,083   8,813 
Class I  93,321   128,283   178,746   151,541 
Class R6  86   2,376   96,640   31,570 
Shares Redeemed                
Class A     (57)  (42,367)  (56,858)
Class C  (206)  (6,318)  (27,313)  (119,990)
Class I  (3,514)  (168,647)  (484,696)  (1,990,538)
Class R6  (1,782)  (77,343)  (223,502)  (399,153)
Net increase (decrease) in shares of beneficial interest  100,809   (54,633)  585,587   (190,728)
                 

See accompanying notes to financial statements.

35

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Global Macro Fund (Consolidated)

 

  CLASS I 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $9.89  $8.74  $9.95  $9.15  $9.16  $9.34 
Income (Loss) from Investment Operations:                        
Net investment income (1)  0.11   0.17   0.13   0.09   0.10   0.03 
Net realized and unrealized gain (loss)  (0.42)  0.98   (0.57)  0.71   (0.11)  (0.21)
Total from investment operations  (0.31)  1.15   (0.44)  0.80   (0.01)  (0.18)
Dividends and Distributions:                        
Dividends from net investment income  (1.02)     (0.77)         
Distributions from return of capital        (0.00) **         
Total dividends and distributions  (1.02)     (0.77)         
Redemption Fees           (0.00) **     (0.00) **
Net Asset Value, End of Year/Period $8.56  $9.89  $8.74  $9.95  $9.15  $9.16 
Total Return*  (3.32)%  13.16%  (4.58)%  8.74%  (0.11)%  (1.93)%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $3,595  $3,714  $6,020  $7,187  $6,849  $8,448 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)  3.44% (7)  2.80%  2.57%  2.46%  2.36%  2.36%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)  1.57% (7)  1.57%  1.45%  1.28%  1.30%  1.25%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  2.27% (7)  1.87%  1.50%  1.00%  1.03%  0.36%
Portfolio Turnover Rate  60% (8)  145%  125%  133%  103%  83%
                         
  CLASS R6 
                 For the Period 
  Six Months Ended              August 17, 
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  2017 (4) to 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $10.02  $8.80  $9.97  $9.16  $9.17  $9.05 
Income (Loss) from Investment Operations:                        
Net investment income (1)  0.13   0.18   0.18   0.10   0.13   0.00 **
Net realized and unrealized gain (loss)  (0.42)  1.04   (0.58)  0.71   (0.14)  0.12 
Total from investment operations  (0.29)  1.22   (0.40)  0.81   (0.01)  0.12 
Dividends and Distributions:                        
Dividends from net investment income  (1.02)     (0.77)         
Distributions from realized gains        (0.00) **         
Total dividends and distributions  (1.02)     (0.77)         
Redemption Fees           0.00 **  0.00 **  0.00 **
Net Asset Value, End of Year/Period $8.71  $10.02  $8.80  $9.97  $9.16  $9.17 
Total Return*  (3.07)%  13.86%  (4.15)%  8.84%  (0.11)%  1.33%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $4,398  $5,033  $2,885  $3,550  $4,636  $109 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)  3.44% (7)  2.89%  2.57%  2.41%  2.39%  2.36% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)  1.02% (7)  1.01%  0.98%  1.20%  1.30%  1.25% (7)
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  2.82% (7)  1.91%  1.97%  1.08%  1.39%  0.36% (7)
Portfolio Turnover Rate  60% (8)  145%  125%  133%  103%  83% (8)
                         
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(2)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class I:

 

   3.35% (7)  2.72%  2.53%  2.43%  2.31%  2.36% (7)
                         
(3)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class I:

 

   1.48% (7)  1.49%  1.41%  1.25%  1.25%  1.25% (7)
                         
(4)Commencement of offering.

 

(5)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class R6:

 

   3.35% (7)  2.81%  2.53%  2.38%  2.30%  2.36% (7)
                         
(6)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class R6:

 

   0.93% (7)  0.93%  0.94%  1.17%  1.20%  1.25% (7)
                         
(7)Annualized for periods less than one year.

 

(8)Not annualized.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

36

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Global Real Estate Fund

 

  CLASS A 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $18.94  $15.56  $17.81  $18.73  $18.98  $19.03 
Income (Loss) from Investment Operations:                        
Net investment income (1)  0.09   0.11   0.19   0.09   0.33   0.27 
Net realized and unrealized gain (loss)  (0.53)  4.85   (0.51)  0.65   1.22   1.51 
Total from investment operations  (0.44)  4.96   (0.32)  0.74   1.55   1.78 
Dividends and Distributions:                        
Dividends from net investment income  (0.31)  (0.28)  (0.28)  (0.64)  (0.69)  (0.28)
Distributions from realized gains  (0.92)  (1.30)  (1.65)  (1.02)  (1.11)  (1.55)
Total dividends and distributions  (1.23)  (1.58)  (1.93)  (1.66)  (1.80)  (1.83)
Redemption Fees                 0.00 **
Net Asset Value, End of Year/Period $17.27  $18.94  $15.56  $17.81  $18.73  $18.98 
Total Return*  (2.54)%  33.47%  (1.93)%  4.67%  8.75%  10.27%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $117,303  $118,587  $88,222  $104,815  $109,634  $94,239 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)  1.34% (6)  1.51%  1.60%  1.60%  1.62%  1.93%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)  1.34% (6)  1.51%  1.60%  1.60%  1.62%  1.92%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  0.99% (6)  0.64%  1.16%  0.52%  1.80%  1.46%
Portfolio Turnover Rate  81% (7)  160%  187%  172%  204%  141%
                         
  CLASS C 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $19.06  $15.68  $17.95  $18.89  $19.13  $19.15 
Income (Loss) from Investment Operations:                        
Net investment income (loss) (1)  0.02   (0.02)  0.07   (0.04)  0.20   0.13 
Net realized and unrealized gain (loss)  (0.52)  4.89   (0.51)  0.65   1.22   1.54 
Total from investment operations  (0.50)  4.87   (0.44)  0.61   1.42   1.67 
Dividends and Distributions:                        
Dividends from net investment income  (0.27)  (0.19)  (0.18)  (0.53)  (0.55)  (0.14)
Distributions from realized gains  (0.92)  (1.30)  (1.65)  (1.02)  (1.11)  (1.55)
Total dividends and distributions  (1.19)  (1.49)  (1.83)  (1.55)  (1.66)  (1.69)
Redemption Fees                 0.00 **
Net Asset Value, End of Year/Period $17.37  $19.06  $15.68  $17.95  $18.89  $19.13 
Total Return*  (2.86)%  32.51%  (2.62)%  3.87%  7.90%  9.56%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $66,431  $75,701  $65,907  $80,048  $82,262  $73,602 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4)  2.09% (6)  2.26%  2.35%  2.37%  2.37%  2.68%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5)  2.09% (6)  2.26%  2.35%  2.37%  2.37%  2.61%
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  0.25% (6)  (0.11)%  0.42%  (0.25)%  1.06%  0.73%
Portfolio Turnover Rate  81% (7)  160%  187%  172%  204%  141%
                         

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(2) Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class A:

 

   1.34% (6)  1.51%  1.60%  1.60%  1.62%  1.93%
                         
(3)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class A:

 

   1.34% (6)  1.51%  1.60%  1.60%  1.62%  1.92%
                         
(4)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class C:

 

   2.09% (6)  2.26%  2.35%  2.37%  2.37%  2.68%
                         
(5)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class C:

 

   2.09% (6)  2.26%  2.35%  2.37%  2.37%  2.61%
                         
(6)Annualized for periods less than one year.

 

(7)Not annualized.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

37

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Global Real Estate Fund

 

  CLASS I 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $19.84  $16.19  $18.42  $19.29  $19.46  $19.42 
Income (Loss) from Investment Operations:                        
Net investment income (1)  0.12   0.18   0.28   0.17   0.41   0.34 
Net realized and unrealized gain (loss)  (0.55)  5.08   (0.54)  0.66   1.27   1.58 
Total from investment operations  (0.43)  5.26   (0.26)  0.83   1.68   1.92 
Dividends and Distributions:                        
Dividends from net investment income  (0.33)  (0.31)  (0.32)  (0.68)  (0.74)  (0.33)
Distributions from realized gains  (0.92)  (1.30)  (1.65)  (1.02)  (1.11)  (1.55)
Total dividends and distributions  (1.25)  (1.61)  (1.97)  (1.70)  (1.85)  (1.88)
Redemption Fees                 0.00 **
Net Asset Value, End of Year/Period $18.16  $19.84  $16.19  $18.42  $19.29  $19.46 
Total Return*  (2.40)%  34.06%  (1.51)%  5.06%  9.22%  10.82%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $685,961  $678,440  $544,432  $643,866  $591,437  $314,904 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)  1.09% (7)  1.26%  1.35%  1.33%  1.37%  1.68%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)  1.04% (7)  1.12%  1.19%  1.19%  1.19%  1.43%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  1.28% (7)  1.02%  1.68%  0.93%  2.13%  1.79%
Portfolio Turnover Rate  81% (8)  160%  187%  172%  204%  141%
                         
  CLASS R6 
                 For the Period 
  Six Months Ended              August 17, 
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  2017 (4) to 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $20.09  $16.35  $18.55  $19.35  $19.46  $19.30 
Income (Loss) from Investment Operations:                        
Net investment income (loss) (1)  0.13   0.22   0.31   0.22   0.42   (0.36)
Net realized and unrealized gain (loss)  (0.55)  5.13   (0.54)  0.69   1.32   0.52 
Total from investment operations  (0.42)  5.35   (0.23)  0.91   1.74   0.16 
Dividends and Distributions:                        
Dividends from net investment income  (0.33)  (0.31)  (0.32)  (0.69)  (0.74)   
Distributions from realized gains  (0.92)  (1.30)  (1.65)  (1.02)  (1.11)   
Total dividends and distributions  (1.25)  (1.61)  (1.97)  (1.71)  (1.85)   
Redemption Fees              0.00 **  0.00 **
Net Asset Value, End of Year/Period $18.42  $20.09  $16.35  $18.55  $19.35  $19.46 
Total Return*  (2.32)%  34.29%  (1.32)%  5.44%  9.54%  0.83%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $31,426  $32,039  $31,355  $12,238  $21,284  $285 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)  1.09% (7)  1.26%  1.36%  1.33%  1.37%  1.68% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)  0.94% (7)  0.97%  1.00%  0.88%  0.90%  1.19% (7)
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  1.38% (7)  1.18%  1.86%  1.20%  2.23%  1.79% (7)
Portfolio Turnover Rate  81% (8)  160%  187%  172%  204%  141% (8)
                         
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(2)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class I:

 

   1.09% (7)  1.26%  1.35%  1.33%  1.37%  1.68% (7)
                         
(3)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class I:

 

   1.04% (7)  1.12%  1.19%  1.19%  1.19%  1.43% (7)
                         
(4)Commencement of offering.

 

(5)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class R6:

 

   1.09% (7)  1.26%  1.36%  1.33%  1.37%  1.68% (7)
                         
(6)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class R6:

 

   0.94% (7)  0.97%  1.00%  0.88%  0.90%  1.19% (7)
                         
(7)Annualized for periods less than one year.

 

(8)Not annualized.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

38

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Multi Strategy Alternative Income Fund

 

  CLASS A 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $9.87  $9.40  $9.07  $9.59  $8.85  $9.07 
Income (Loss) from Investment Operations:                        
Net investment income (loss) (1)  (0.02)  0.43   0.01   0.03   (0.01)  (0.02)
Net realized and unrealized gain (loss)  (0.60)  0.91   0.57   (0.22)  1.10   0.16 
Total from investment operations  (0.62)  1.34   0.58   (0.19)  1.09   0.14 
Dividends and Distributions:                        
Dividends from net investment income  (0.07)  (0.19)  (0.25)  (0.18)      
Distributions from realized gains  (0.57)  (0.68)           (0.20)
Distributions from return of capital           (0.15)  (0.35)  (0.16)
Total dividends and distributions  (0.64)  (0.87)  (0.25)  (0.33)  (0.35)  (0.36)
Net Asset Value, End of Year/Period $8.61  $9.87  $9.40  $9.07  $9.59  $8.85 
Total Return*  (6.60)%  14.90%  6.66%  (1.92)%  12.62%  1.53%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $510  $488  $4  $69  $78  $99 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)  4.90% (6)  4.55%  4.75%  4.78%  4.35%  4.03%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)  3.50% (6)  3.46%  3.22%  3.39%  3.63%  3.51%
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  (0.44)%(6)  4.26%  0.25%  0.28%  (0.13)%  (0.25)%
Portfolio Turnover Rate  103% (7)  229%  185%  414%  183%  118%
                         
  CLASS C 
                   
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $9.61  $9.21  $8.90  $9.42  $8.69  $8.96 
Income (Loss) from Investment Operations:                        
Net investment loss (1)  (0.05)  (0.02)  (0.06)  (0.04)  (0.07)  (0.09)
Net realized and unrealized gain (loss)  (0.59)  1.24   0.57   (0.23)  1.08   0.17 
Total from investment operations  (0.64)  1.22   0.51   (0.27)  1.01   0.08 
Dividends and Distributions:                        
Dividends from net investment income  (0.06)  (0.14)  (0.20)  (0.14)      
Distributions from realized gains  (0.57)  (0.68)           (0.20)
Distributions from return of capital           (0.11)  (0.28)  (0.15)
Total dividends and distributions  (0.63)  (0.82)  (0.20)  (0.25)  (0.28)  (0.35)
Net Asset Value, End of Year/Period $8.34  $9.61  $9.21  $8.90  $9.42  $8.69 
Total Return*  (6.95)%  13.86%  5.89%  (2.72)%  11.88%  0.79%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $14  $17  $69  $188  $270  $318 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4)  5.65% (6)  5.30%  5.50%  5.53%  5.11%  4.79%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5)  4.25% (6)  4.21%  3.97%  4.14%  4.38%  4.26%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  (1.17)%(6)  (0.24)%  (0.61)%  (0.50)%  (0.84)%  (1.03)%
Portfolio Turnover Rate  103% (7)  229%  185%  414%  183%  118%
                         
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(2)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class A:

 

   3.63% (6)  3.33%  3.77%  3.80%  3.47%  3.27%
                         
(3)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class A:

 

   2.23% (6)  2.24%  2.24%  2.41%  2.75%  2.75%
                         
(4)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class C:

 

   4.38% (6)  4.08%  4.52%  4.53%  4.23%  4.03%
                         
(5)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class C:

 

   2.98% (6)  2.99%  2.99%  3.17%  3.50%  3.50%
                         
(6)Annualized for periods less than one year.

 

(7)Not annualized.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

39

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Multi Strategy Alternative Income Fund

 

  CLASS I 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $9.88  $9.41  $9.10  $9.62  $8.88  $9.09 
Income (Loss) from Investment Operations:                        
Net investment income (loss) (1)  (0.01)  0.08   0.03   0.05   0.01    
Net realized and unrealized gain (loss)  (0.59)  1.28   0.57   (0.22)  1.10   0.16 
Total from investment operations  (0.60)  1.36   0.60   (0.17)  1.11   0.16 
Dividends and Distributions:                        
Dividends from net investment income  (0.07)  (0.21)  (0.29)  (0.19)     (0.00) **
Distributions from realized gains  (0.57)  (0.68)           (0.20)
Distributions from return of capital           (0.16)  (0.37)  (0.17)
Total dividends and distributions  (0.64)  (0.89)  (0.29)  (0.35)  (0.37)  (0.37)
Net Asset Value, End of Year/Period $8.64  $9.88  $9.41  $9.10  $9.62  $8.88 
Total Return*  (6.37)%  15.14%  6.90%  (1.66)%  12.88%  1.75%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $12,177  $13,018  $12,625  $11,815  $12,034  $13,380 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)  4.65% (7)  4.30%  4.50%  4.53%  4.11%  3.78%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)  3.25% (7)  3.21%  2.97%  3.14%  3.38%  3.26%
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  (0.18)%(7)  0.81%  0.32%  0.52%  0.14%  (0.02)%
Portfolio Turnover Rate  103% (8)  229%  185%  414%  183%  118%
                         
  CLASS R6 
                 For the Period 
  Six Months Ended              August 17, 
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  2017 (4) to 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $10.07  $9.54  $9.17  $9.67  $8.87  $8.73 
Income (Loss) from Investment Operations:                        
Net investment income (loss) (1)  0.03   0.12   0.07   0.07   0.06   (0.01)
Net realized and unrealized gain (loss)  (0.62)  1.30   0.59   (0.22)  1.11   0.15 
Total from investment operations  (0.59)  1.42   0.66   (0.15)  1.17   0.14 
Dividends and Distributions:                        
Dividends from net investment income  (0.07)  (0.21)  (0.29)  (0.19)      
Distributions from realized gains  (0.57)  (0.68)            
Distributions from return of capital           (0.16)  (0.37)   
Total dividends and distributions  (0.64)  (0.89)  (0.29)  (0.35)  (0.37)   
Net Asset Value, End of Year/Period $8.84  $10.07  $9.54  $9.17  $9.67  $8.87 
Total Return*  (6.15)%  15.59%  7.51%  (1.44)%  13.59%  1.60%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $10  $29  $734  $1,511  $3,206  $89 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)  4.65% (7)  4.30%  4.50%  4.45%  4.34%  3.78% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)  2.75% (7)  2.71%  2.47%  2.87%  3.08%  3.26% (7)
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  0.59% (7)  1.26%  0.87%  0.75%  0.66%  (0.02)%(7)
Portfolio Turnover Rate  103% (8)  229%  185%  414%  183%  118% (8)
                         
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(2)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class I:

 

   3.38% (7)  3.08%  3.52%  3.55%  3.23%  3.02% (7)
                         
(3)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class I:

 

   1.98% (7)  1.99%  1.99%  2.16%  2.50%  2.50% (7)
                         
(4)Commencement of offering.

 

(5)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class R6:

 

   3.38% (7)  3.08%  3.52%  3.47%  3.34%  3.02% (7)
                         
(6)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class R6:

 

   1.48% (7)  1.49%  1.49%  1.89%  2.09%  2.50% (7)
                         
(7)Annualized for periods less than one year.

 

(8)Not annualized.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

40

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Hedged Equity Fund

 

  CLASS A 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $11.18  $10.83  $10.42  $10.80  $10.33  $9.94 
Income (Loss) from Investment Operations:                        
Net investment loss (1)  (0.02)  (0.08)  (0.05)  (0.13)  (0.11)  (0.08)
Net realized and unrealized gain (loss)  (0.03)  1.17   0.72   0.75   0.81   0.46 
Total from investment operations  (0.05)  1.09   0.67   0.62   0.70   0.38 
Dividends and Distributions:                        
Dividends from net investment income  (1.10)  (0.74)     (0.31)  (0.23)   
Distributions from realized gains        (0.26)  (0.69)      
Total dividends and distributions  (1.10)  (0.74)  (0.26)  (1.00)  (0.23)   
Redemption Fees                 0.01 
Net Asset Value, End of Year/Period $10.03  $11.18  $10.83  $10.42  $10.80  $10.33 
Total Return*  (0.77)%  10.67%  6.56%  6.26%  6.91%  3.92%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $1,555  $1,899  $1,537  $519  $230  $373 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)  2.03% (6)  2.04%  2.07%  2.22%  2.70%  3.20%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)  1.56% (6)  2.04%  2.01%  2.20%  2.76%  2.67%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  (0.39)%(6)  (0.73)%  (0.44)%  (1.28)%  (1.04)%  (0.81)%
Portfolio Turnover Rate  11% (7)  44%  173%  245%  84%  11%
                         
  CLASS C 
                   
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $10.90  $10.57  $10.28  $10.66  $10.21  $9.89 
Income (Loss) from Investment Operations:                        
Net investment loss (1)  (0.06)  (0.14)  (0.14)  (0.18)  (0.19)  (0.15)
Net realized and unrealized gain  (0.03)  1.12   0.69   0.72   0.81   0.46 
Total from investment operations  (0.09)  0.98   0.55   0.54   0.62   0.31 
Dividends and Distributions:                        
Dividends from net investment income  (0.90)  (0.65)     (0.23)  (0.17)   
Distributions from realized gains        (0.26)  (0.69)      
Total dividends and distributions  (0.90)  (0.65)  (0.26)  (0.92)  (0.17)   
Redemption Fees                 0.01 
Net Asset Value, End of Year/Period $9.91  $10.90  $10.57  $10.28  $10.66  $10.21 
Total Return*  (1.05)%  9.77%  5.47% +  5.51% +  6.11%  3.24%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $501  $746  $1,781  $524  $322  $307 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4)  2.78% (6)  2.68%  2.81%  2.96%  3.45%  3.94%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5)  2.31% (6)  2.68%  2.94%  2.96%  3.51%  3.42%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  (1.06)%(6)  (1.31)%  (1.36)%  (1.74)%  (1.83)%  (1.52)%
Portfolio Turnover Rate  11% (7)  44%  173%  245%  84%  11%
                         
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(2)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class A:

 

   1.99% (6)  1.99%  2.05%  2.19%  2.39%  2.98%
                         
(3)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class A:

 

   1.52% (6)  1.99%  1.99%  2.17%  2.45%  2.45%
                         
(4)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class C:

 

   2.74% (6)  2.63%  2.79%  2.93%  3.14%  3.72%
                         
(5)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class C:

 

   2.27% (6)  2.63%  2.92%  2.93%  3.20%  3.20%
                         
(6)Annualized for periods less than one year.

 

(7)Not annualized.

 

+Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

41

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Hedged Equity Fund

 

  CLASS I 
    
  Six Months Ended                
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $11.33  $10.96  $10.53  $10.90  $10.41  $9.98 
Income (Loss) from Investment Operations:                        
Net investment loss (1)  (0.01)  (0.06)  (0.03)  (0.10)  (0.06)  (0.04)
Net realized and unrealized gain (loss)  (0.03)  1.19   0.72   0.76   0.82   0.47 
Total from investment operations  (0.04)  1.13   0.69   0.66   0.76   0.43 
Dividends and Distributions:                        
Dividends from net investment income  (1.12)  (0.76)     (0.34)  (0.27)  (0.01)
Distributions from realized gains        (0.26)  (0.69)      
Total dividends and distributions  (1.12)  (0.76)  (0.26)  (1.03)  (0.27)  (0.01)
Redemption Fees                 0.01 
Net Asset Value, End of Year/Period $10.17  $11.33  $10.96  $10.53  $10.90  $10.41 
Total Return*  (0.59)%  10.91%  6.69%  6.68%  7.40%  4.42%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $36,337  $33,478  $41,145  $19,673  $3,742  $4,705 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (3)  1.78% (7)  1.84%  1.82%  1.99%  2.25%  2.96%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (4)  1.31% (7)  1.84%  1.81%  1.86%  2.30%  2.21%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  (0.17)%(7)  (0.51)%  (0.29)%  (0.93)%  (0.61)%  (0.37)%
Portfolio Turnover Rate  11% (8)  44%  173%  245%  84%  11%
                         
  CLASS R6 
                 For the Period 
  Six Months Ended              August 17, 
  February 28,  Year Ended  Year Ended  Year Ended  Year Ended  2017 (4) to 
  2022  August 31,  August 31,  August 31,  August 31,  August 31, 
  (Unaudited)  2021  2020  2019  2018  2017 
Net Asset Value, Beginning of Year/Period $11.58  $11.13  $10.64  $10.95  $10.38  $10.30 
Income (Loss) from Investment Operations:                        
Net investment income (loss) (1)  0.01   (0.02)  0.02      (0.01)  (0.08)
Net realized and unrealized gain (loss)  (0.04)  1.23   0.73   0.72   0.85   0.16 
Total from investment operations  (0.03)  1.21   0.75   0.72   0.84   0.08 
Dividends and Distributions:                        
Dividends from net investment income  (1.12)  (0.76)     (0.34)  (0.27)   
Distributions from realized gains        (0.26)  (0.69)      
Total dividends and distributions  (1.12)  (0.76)  (0.26)  (1.03)  (0.27)   
Redemption Fees              0.00 **  0.00 **
Net Asset Value, End of Year/Period $10.43  $11.58  $11.13  $10.64  $10.95  $10.38 
Total Return*  (0.49)%  11.49%  7.19%  7.23%  8.21%  0.78%
Ratios and Supplemental Data:                        
Net assets, end of year/period (000s) $16,179  $17,970  $9,702  $13,365  $21,023  $369 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)  1.78% (7)  1.84%  1.81%  1.94%  2.22%  2.96% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)  1.05% (7)  1.38%  1.36%  1.33%  1.62%  2.21% (7)
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets  0.13% (7)  (0.20)%  0.16%  (0.03)%  (0.13)%  (0.37)%(7)
Portfolio Turnover Rate  11% (8)  44%  173%  245%  84%  11% (8)
                         
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(2)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class I:

 

   1.74% (7)  1.79%  1.79%  1.95%  1.93%  2.74% (7)
                         
(3)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class I:

 

   1.27% (7)  1.79%  1.79%  1.82%  1.99%  1.99% (7)
                         
(4)Commencement of operations.

 

(5)Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class R6:

 

   1.74% (7)  1.79%  1.78%  1.90%  1.89%  2.74% (7)
                         
(6)Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class R6:

 

   1.01% (7)  1.33%  1.34%  1.30%  1.29%  1.99% (7)
                         
(7)Annualized for periods less than one year.

 

(8)Not annualized

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

42

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited)

 

1.ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

James Alpha Fund Trust (the “Trust”) was organized in 2020, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open -end management investment company. The Trust currently consists of eight series. Easterly Funds LLC serves as the Funds’ advisor. These financial statements include the following four series:

 

FundSub-Advisor
Easterly Global Macro Fundn/a
Easterly Global Real Estate FundRanger Global Real Estate Advisors, LLC
Easterly Multi Strategy Alternative Income FundRanger Global Real Estate Advisors, LLC
 Bullseye Asset Management LLC
 Kellner Private Fund Management, LP
 Lazard Asset Management LLC
Easterly Hedged Equity FundEAB Investment Group, LLC

 

Ultimus Fund Solutions, LLC (the “Administrator”), serves the Trust as administrator, custody administrator, transfer agent and fund accounting agent. Ultimus Fund Distributors, LLC (“NLD” or the “Distributor”) is the Trust’s Distributor.

 

The Easterly Global Macro Fund, the Easterly Global Real Estate Fund, the Easterly Multi Strategy Alternative Income Fund and the Easterly Hedged Equity Fund are diversified Funds.

 

Fund Primary Objective 
Easterly Global MacroAttractive long-term risk-adjusted returns relative to traditional financial market indices
Easterly Global Real EstateTotal return through a combination of current income and capital appreciation
Easterly Multi Strategy Alternative IncomeLong-term capital appreciation as its primary objective, with a secondary objective of providing income for its shareholders.
Easterly Hedged EquityCapital appreciation

 

Currently, all Funds offer Class A, Class C, Class I shares and Class R6 shares with the exception of the Easterly Global Macro Fund which offers Class I and Class R6 Shares. Class A shares of Easterly Multi Strategy Alternative Income are offered at net asset value plus a maximum sales load of 2.00%. Class A shares of the Easterly Global Real Estate Investments Fund and the Easterly Hedged Equity Fund are offered at net asset value plus a maximum sales load of 5.75%. Class C shares are offered subject to a CDSC of 1.00%. Class I and Class R6 shares are offered at net asset value. Each class represents an interest in the same assets of the applicable Fund, and the classes are identical except for differences in their sales charge structures, ongoing service and distribution charges. Class R6 shares are only available to certain qualified investors and the minimum initial investment will vary depending on the type of qualified investor. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.

 

The following is a summary of significant accounting policies followed by the Funds in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services – Investment Companies" including FASB Accounting Standard Update ASU 2013-08.

 

(a) Valuation of Investments

 

Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date. NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP). If there are no such reported sales, the securities are valued at the mean between current bid and ask. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees using methods which include current market quotations from a major market maker in the securities and trader-reviewed “matrix” prices. Short-term debt securities having a remaining maturity of sixty days or less may be valued at amortized cost or amortized value, which approximates market value. U.S. Government Money Market values all of its securities on the basis of amortized cost, which approximates market value. Options listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the last bid and ask price. Options not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean of the current bid and asked prices. Futures are valued based on their daily settlement value. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees. There is no single standard for determining the fair value of such securities. Rather, in determining the fair value of a security, the board-appointed Fair Valuation Committee shall take into account the relevant factors and surrounding circumstances, a few of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. The Easterly Global Real Estate Fund uses fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic or political developments in a specific state, industry or region. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.

43

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

The Funds utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of February 28, 2022, for the Funds’ assets and liabilities measured at fair value:

 

Easterly Global Macro Fund            
Assets* Level 1  Level 2  Level 3  Total 
Exchange Traded Funds $3,431,463  $  $  $3,431,463 
Exchange Traded Notes  20,302         20,302 
Open End Funds  2,588,323         2,588,323 
Total $6,040,088  $  $  $6,040,088 
                 
Derivatives                
Total Return Swaps $  $662,053  $  $662,053 
Forward Currency Contracts     8      8 
Total $  $662,061  $  $662,061 
                 
Easterly Global Real Estate Fund            
             
Assets* Level 1  Level 2  Level 3  Total 
Common Stock $470,130,925  $431,336,896  $  $901,467,821 
Total $470,130,925  $431,336,896  $  $901,467,821 
Derivatives                
Forward Currency Contracts    $(1,241)    $(1,241)
                 
Easterly Multi Strategy Alternative Income Fund            
             
Assets* Level 1  Level 2  Level 3  Total 
Closed End Funds $1,254,914  $  $  $1,254,914 
Common Stock  8,368,343         8,368,343 
Corporate Bonds  200,229         200,229 
Exchange Traded Funds  501,879         501,879 
Open End Funds  684,479         684,479 
Total $11,009,844  $  $  $11,009,844 
Liabilities*                
Securities Sold Short $(1,769,596) $  $(10,333)  (1,779,929)
Total $(1,769,596) $  $(10,333) $(1,779,929)
                 
Easterly Hedged Equity Fund            
             
Assets* Level 1  Level 2  Level 3  Total 
Exchange Traded Funds $48,465,930  $  $  $48,465,930 
Put Options Purchased     2,386,825      2,386,825 
Total $48,465,930  $2,386,825  $  $50,852,755 
Derivatives* - Liabilities                
Call Options Written $(387,525) $  $  $(387,525)
Put Options Written     (577,925)     (577,925)
Total Return Swaps     (1,409,697)     (1,409,697)
Total $(387,525) $(1,987,622) $  $(2,375,147)

 

It is the Funds’ policy to recognize transfers into and out of Levels at the end of the reporting period.

 

*Refer to the Schedules of Investments for industry or category classifications.

44

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

The following is a reconciliation for the Easterly Multi Strategy Alternative Income Fund for which Level 3 inputs were used in determining value:

 

  Beginning     Change in           Net transfers  Ending balance 
  balance August  Total Realized  unrealized           in/(out) of  February 28, 
  31, 2021  Gain/(Loss)  appreciation  Conversion  Net Purchases  Net Sales  Level 3  2022 
Common Stock $(10,333) $  $  $  $  $  $  $(10,333)

 

Quantitative disclosures of unobservable inputs and assumptions used by Easterly Multi Strategy Alternative Income Fund are below:

 

Common Stock Fair Value  Valuation Techniques Unobservable Input
Sinovac Biotech Ltd. $(10,333) Last Price Discount for lack of marketability

 

Consolidation of Subsidiary – James Alpha Cayman Commodity Fund I Ltd. (JACC-SPC)

 

The Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations and Consolidated Statement of Changes in Net Assets and the Consolidated Financial Highlights of the Easterly Global Macro Fund includes the accounts of JACC-SPC, a wholly owned and controlled subsidiary. JACC-SPC is a closed-end fund incorporated as an exempted company under the company’s law of the Cayman Islands on February 2, 2011, and is a disregarded entity for tax purposes. All inter-company accounts and transactions have been eliminated in consolidation.

 

The Easterly Global Macro Fund may invest up to 25% of its total assets in the segregated portfolio company (“SPC”) which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.

 

A summary of the Easterly Global Macro Fund’s investments in the SPC is as follows:

 

       SPC Net Assets at  % of Fund Net Assets at 
    Inception Date of SPC  February 28, 2022  February 28, 2022 
 James Alpha Cayman Commodity Fund I Ltd.  August 5, 2011  $384,903  4.82% 

 

(b) Federal Income Tax

 

It is each Fund’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision is required.

 

Capital loss carry forwards, as of each Fund’s most recent tax year-ended August 31, 2021 (for the tax year ended December 31, 2020 for the Easterly Global Real Estate Fund), available to offset future capital gains, utilized capital gains, if any, are as follows:

 

        Capital Loss Carry Forward    
  Short-Term  Long-Term  Utilized  Total 
Easterly Global Macro Fund  742,034   1,106,761   242,125   1,848,795 
Easterly Global Real Estate Fund            
Easterly Multi Strategy Alternative Income Fund            
Easterly Hedged Equity Fund  1,457,549   552,636      2,010,185 
Easterly Hedged High Income Fund     2,392,621      2,392,621 

 

The Funds recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on its 2019-2021 returns and expected to be taken in the Funds’ 2022 returns and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Funds identify its major tax jurisdictions as U.S. Federal, Arizona and foreign jurisdictions where the Funds make significant investments. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the six months ended February 28, 2022, the Funds did not incur any interest or penalties.

 

(c) Security Transactions and Other Income

 

Security transactions are reflected for financial reporting purposes as of the trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis including premium amortized and discount accreted. All paydown gains and losses are classified as interest income in the accompanying Statements of Operations in accordance with U.S. GAAP. Discounts and premiums on securities purchased are accreted and amortized, over the lives of the respective securities with a corresponding increase/decrease in the cost basis of that security using the yield to maturity method, or where applicable, the first call date of the security. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.

45

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

(d) Dividends and Distributions

 

The following table summarizes each Fund’s intended dividend and capital gain declaration policy:

 

Fund Income Dividends Capital Gains
Easterly Global Macro Fund Annually Annually
Easterly Global Real Estate Fund Quarterly Quarterly
Easterly Multi Strategy Alternative Income Fund Quarterly Annually
Easterly Hedged Equity Fund Annually Annually

 

Each Fund records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are either permanent or temporary in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in-surplus or tax return of capital. These reclassifications have no effect on net assets, results from operations or net asset value per share of each Fund.

 

(e) Allocation of Expenses

 

Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses incurred by the Trust that do not relate to a specific Fund of the Trust are allocated to the individual Funds on an equal basis or another reasonable basis.

 

(f) Repurchase Agreements

 

In connection with transactions in repurchase agreements, it is the Trust’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Trust may be delayed or limited.

 

(g) Indemnification

 

The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.

 

(h) Other

 

The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

 

Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

 

Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

 

Market Disruptions Risk. The Funds are subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19), which can negatively impact the securities markets and cause the Funds to lose value.

 

The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Funds hold, and may adversely affect the Funds’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the marketplace and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.

 

The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of the Funds’ securities or other assets. Such impacts may adversely affect the performance of the Funds.

46

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

2.MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES

 

(a) Easterly Funds, LLC acts as investment manager for the Funds pursuant to the terms of a Management Agreement with the Trust, on behalf of the Funds (the “Management Agreement”). Under the terms of the Management Agreement, the Manager manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. Each investment sub-advisor is responsible for the day-to-day management of its Fund’s portfolios. Easterly Funds, LLC serves the Funds in a supervision capacity with responsibility to monitor the performance of the Funds’ outside service providers, assist in the review of financial statements and other regulatory filings and board meeting materials related to each Fund. The management fees are payable to Easterly Funds, LLC monthly by each Fund and are computed daily as shown in the table below. The Funds’ subadvisors are paid by the manager, not the Funds.

 

(b) Pursuant to an operating expense limitation agreement between Easterly Funds, LLC and the Funds, Easterly Funds, LLC has contractually agreed to waive all or a portion of its advisory fee and/or pay expenses of the Fund so that total annual Fund operating expenses (excluding front-end and contingent deferred sales loads, leverage, interest and tax expenses, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) do not exceed the expense limitation shown in the table below, and is based on the Funds’ average daily net assets. This operating expense limitation agreement cannot be terminated during its term. Easterly Funds, LLC is permitted to seek reimbursement from the Fund, subject to limitations, for management fees waived and Fund expenses it paid within three (3) years of the end of the fiscal year in which such management fees were waived or expenses paid, as long as the reimbursement does not cause the Fund’s operating expenses to exceed (i) the expense cap in place at the time the fees were waived or the expenses were incurred; or (ii) the current expense cap, whichever is less. The expense limitation agreement will be in effect through March 19, 2023.

 

              Management 
              Fee Waived/ 
  Management Expense Limitation Expenses Reimbursed 
Fund Agreement Cl A Cl C Cl I CL R6 Expires YTD 2/28/2022 
Easterly Global Macro Fund 1.10% N/A N/A 1.48% 0.93% 3/19/2023 $93,030 
Easterly Global Real Estate Fund 0.90% 1.69% 2.37% 1.04% 0.94% 3/19/2023  200,077 
Easterly Multi Strategy Alternative Income Fund 2.00% 2.23% 2.98% 1.98% 1.48% 3/19/2023  92,557 
Easterly Hedged Equity Fund* 1.20% 1.50% 2.25% 1.25% 0.99% 3/19/2023  148,284 

 

*Prior to September 7, 2021 the expense limitation was as 1.99%, 3.00%, 1.79% and 1.34% for Class A, Class C, Class I and Class R6, respectively. The following table shows the available waived expenses and expiration date for each Fund subject to potential recovery.

 

Fund 8/31/2022  8/31/2023  8/31/2024 
Easterly Global Macro Fund $99,260  $129,870  $122,020 
Easterly Global Real Estate Fund  808,019   1,158,275   951,023 
Easterly Multi Strategy Alternative Income Fund  176,432   205,534   154,226 
Easterly Hedged Equity Fund  117,016   52,139   44,773 

 

(c) Ultimus Fund Distributors, LLC (“UFD”) is the Trust’s Distributor. The Trust with respect to the Funds has adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act (the “Plan”) with respect to the sale and distribution of Class A and C shares of the Funds. The Plan provides that the Funds will pay UFD and other entities, including a broker-dealer affiliate of the Adviser, are paid pursuant to the Plans provided and the expenses borne by the distributor and others in the distribution of Fund shares a fee, which is accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of Class A shares and 1.00% of the average daily net assets of each of the Funds’ Class C shares. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets.

 

For the six months ended, February 28, 2022, UFD received sales charges on sales of the Funds’ Class A shares.

 

  UFD Sales Charges 
Fund Class A 
Easterly Global Real Estate Fund $345,842 
Easterly Hedged Equity Fund  1,704 

 

For the six months ended February 28, 2022 CDSC fees were as follows.

 

  CDSC Fees 
Fund Class C 
Easterly Global Real Estate Fund $782 

 

(d) Ultimus Fund Solutions, LLC (“UFS”), an affiliate of UFD provides administrative, fund accounting and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.

47

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

(e) Affiliated Investments — The Funds’ transactions with affiliates represent holdings for which the respective Fund and the underlying investee fund have the same investment advisor or where the investee fund’s investment advisor is under common control with the Fund’s investment advisor. Companies which are affiliates of the Funds at February 28, 2022, are noted in the Fund’s Schedule of Investments.

 

              Change in          
              Unrealized          
  Value at        Realized Gain  Appreciation     Value at  Shares at 
Affiliated Holding 8/31/2021  Purchases  Sales  (Loss)  (Depreciation)  Income  2/28/2022  8/31/2021 
Easterly Global Macro Fund                                
Easterly Hedged Equity Fund, CL R6 $183,999  $17,860        $(18,756) $17,860  $183,103   17,555 
Easterly Income Opportunities Fund, Cl R6  2,903,195   77,537   (520,521)  61,920   (127,489)  57,016   2,394,642   222,136 
Easterly Multi Strategy Alternative Income Fund                                
Easterly Income Opportunities Fund, Cl R6     718,557   (15,951)  5,831   (23,958)  12,606   684,479   63,495 

 

In addition, certain affiliates of the Distributor provide services to the Trust as follows:

 

Northern Lights Compliance Services, LLC (“NLCS”) – NLCS, an affiliate of UFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.

 

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Trust on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

 

Certain employees of UFS and NLCS are also officers of the Trust, and are not paid any fees directly by the Trust for serving in such capacity.

 

3.INVESTMENT TRANSACTIONS

 

(a) For the six months ended February 28, 2022, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Funds were as follows:

 

Fund Purchases  Sales 
Easterly Global Macro Fund  3,888,024   4,199,714 
Easterly Global Real Estate Fund  774,766,612   735,275,043 
Easterly Multi Strategy Alternative Income Fund  9,937,463   10,161,437 
Easterly Hedged Equity Fund  5,825,990   5,081,117 

 

(b) Certain Funds may enter into options contracts. An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. Certain options, including options on indices, will require cash settlement by the Fund if the option is exercised.

 

Premiums paid when put or call options are purchased by the Fund, represent investments, which are marked-to-market daily. When a purchase option expires, the Fund will realize a loss in the amount of the premium paid. When the Fund enters into a closing sales transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sales transaction are greater or less than the premium paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security, which the Fund purchases upon exercise, will be increased by the premium originally paid.

 

Certain Funds may write covered call options. This means that the Fund will own the security subject to the option or an option to purchase the same underlying security, having an exercise price equal to or less than the exercise price of the covered option, or will establish and maintain with its custodian for the term of the option, an account consisting of cash, U.S. government securities or other liquid securities having a value equal to the fluctuating market value of the securities on which the Fund holds a covered call position.

 

When a Fund writes a call option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily. When a written option expires, the Fund realizes a gain equal to the amount of the premium received. When the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss depending upon whether the cost of the closing transaction is greater or less than the premium originally received, without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is eliminated. When a written call option is exercised the proceeds of the security sold will be increased by the premium originally received.

 

The liability representing a Fund’s obligation under an exchange traded written option or investment in a purchased option is valued at the last sale price or, in the absence of a sale, the last available bid price.

 

The Funds may enter into options for hedging purposes. The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that the Fund gives up the opportunity to participate in any increase in the price of the underlying security beyond the exercise price.

 

(c) Certain Funds may enter into futures contracts. The Funds are subject to equity price risk in the normal course of pursuing their investment objective. To manage equity price risk, the Funds may enter into futures contracts. Upon entering into a futures contract with a broker, the Funds are required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Periodically, the Funds receive from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a

48

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

contract is closed, the Funds recognize a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. With futures contracts, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Futures contracts outstanding at period end are listed after the Funds’ portfolio of investments.

 

(d) Certain Funds may enter into foreign currency exchange contracts. Because various Funds may invest in securities denominated in foreign currencies, they may seek to hedge foreign currency risks by engaging in foreign currency exchange transactions. These may include buying or selling foreign currencies on a spot basis, entering into foreign currency forward contracts, and buying and selling foreign currency options, foreign currency futures, and options on foreign currency futures. Currency exchange rates may fluctuate significantly over short periods and can be subject to unpredictable change based on such factors as political developments and currency controls by foreign governments.

 

(e) Swap Agreements – Certain funds are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Funds may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), commodity or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

 

The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Funds’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.

 

(f) Short Sales – Certain funds may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.

 

When the Fund makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Fund is required to make a margin deposit in connection with such short sales; the Fund may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.

 

If the price of the security sold short increases between the time of the short sale and the time the Fund covers its short position, the Fund will incur a loss; conversely, if the price declines, the Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

 

To the extent the Fund sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A short sale is “against the box” to the extent the Fund contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.

 

(g) Other Investment Companies or Exchange Traded Funds – Certain Funds may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a portfolio of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire portfolio of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Fund invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Fund invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Fund bears directly in connection with its own operation, the Fund also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.

49

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

The derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at February 28, 2022, were as follows:

 

      Location of derivatives on Statements Fair value of asset/liability 
Fund Derivative Risk Type of Assets and Liabilities derivatives 
Esaterly Global Macro Fund    
  Forward Exchange Contracts Foreign Exchange Unrealized appreciation on forward currency contracts $1,672 
  Forward Exchange Contracts Foreign Exchange Unrealized depreciation on forward currency exchange contracts  (1,664)
  Swap Contracts Equity Unrealized appreciation on swaps  662,053 
      Total $662,061 
Easterly Global Real Estate Fund    
  Forward Exchange Contracts Foreign Exchange Unrealized depreciation on forward currency exchange contracts $(1,241)
      Total $(1,241)
Easterly Hedged Equity Fund    
  Put options purchased Equity Investments, at value $2,386,825 
  Call options written Equity Options written  (387,525)
  Put options written Equity Options written  (577,925)
  Swap Contracts Equity Unrealized depreciation on swaps  (1,409,697)
      Total $11,678 

 

The effect of derivative instruments on the Statements of Operations for the six months ended February 28, 2022, were as follows:

 

        Realized and unrealized gain (loss) 
Fund Derivative Location of gain (loss) on derivatives Risk Type on derivatives 
Easterly Global Macro Fund    
  Swaps Contracts    
    Net realized loss on swaps    
      Equity $(3,066)
    Net change in unrealized depreciation on swaps    
      Equity $(206,389)
      Total $(209,455)
  Options    
    Net realized loss on options purchased    
      Equity $(20,807)
    Net realized gain on options written    
      Equity $30,302 
      Total $9,495 
  Forward Currency Contracts    
           
    Net realized gain on Investments and foreign currency translations    
      Foreign Exchange $29 
    Net change in unrealized depreciation on investments and foreign currency transactions    
      Foreign Exchange $(5,403)
      Total $(5,374)
Easterly Global Real Estate Fund    
  Forward Currency Contracts    
    Net realized gain on Investments and foreign currency translations    
      Foreign Exchange $16,496 
    Net change in unrealized depreciation on investments and foreign currency transactions    
      Foreign Exchange $(9,345)
      Total $7,151 
Easterly Multi Strategy Alternative Income Fund    
  Forward Currency Contracts    
    Net realized gain from investments and foreign currency transactions    
      Foreign Exchange $2,386 
    Net change in unrealized depreciation on investments and foreign currency transactions    
      Foreign Exchange $(1,705)
      Total $681 
Easterly Hedged Equity Fund    
  Options    
    Net realized loss on options purchased    
      Equity $(3,772,918)
    Net realized gain on options written    
      Equity  4,481,789 
      Total $708,871 
    Net change in unrealized appreciation on options purchased    
      Equity  1,640,160 
    Net change in unrealized depreciation on options written    
      Equity  (494,097)
      Total $1,146,063 
  Swaps    
    Net realized gain on swaps    
      Equity $789,182 
    Net change in unrealized depreciation on swaps    
      Equity $(1,409,697)
      Total $(620,515)

50

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

The amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.

 

4.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at February 28, 2022, were as follows:

 

     Gross  Gross  Net Unrealized 
  Tax  Unrealized  Unrealized  Appreciation/ 
  Cost  Appreciation  Depreciation  (Depreciation) 
Easterly Global Macro Fund  6,233,255   755,305   (286,411)  468,894 
Easterly Global Real Estate Fund  1,089,675,232   14,913,953   (203,122,605)  (188,208,652)
Easterly Multi Strategy Alternative Income Fund  9,902,553   762,071   (1,434,709)  (672,638)
Easterly Hedged Equity Fund  39,484,937   10,639,516   (1,646,845)  8,992,671 

 

5.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of dividends paid during the periods ended August 31, 2021 and August 31, 2020 (for the period ended December 31, 2020 and December 31, 2019 for the Easterly Global Real Estate Fund) was as follows:

 

For fiscal year ended Ordinary  Long-Term  Return of    
8/31/2021 Income  Capital Gains  Capital  Total 
Easterly Global Macro Fund            
Easterly Global Real Estate Fund  73,730,837         73,730,837 
Easterly Multi Strategy Alternative Income Fund  299,447   951,227      1,250,674 
Easterly Hedged Equity Fund  3,431,166         3,431,166 
Easterly Hedged High Income Fund  787,864      121,174   909,038 
                 
For fiscal year ended Ordinary  Long-Term  Return of    
8/31/2020 Income  Capital Gains  Capital  Total 
Easterly Global Macro Fund  864,105      5,035   869,140 
Easterly Global Real Estate Fund  98,979,566         98,979,566 
Easterly Multi Strategy Alternative Income Fund  45,489   376,771      422,260 
Easterly Hedged Equity Fund  1,016,443   124,780      1,141,223 
Easterly Hedged High Income Fund  1,729,599      199,322   1,928,921 

 

As of each of the Fund’s tax year-ended August 31, 2021 (except for the Easterly Global Real Estate Fund in which its December 31, 2020 components of distributable earnings have been adjusted for August 31, 2021 activity), the components of distributable earnings on a tax basis were as follows:

 

  Undistributed  Undistributed  Post October Loss  Capital Loss  Other  Unrealized  Total 
  Ordinary  Long-Term  and  Carry  Book/Tax  Appreciation/  Accumulated 
  Income  Capital Gains  Late Year Loss  Forwards  Differences  (Depreciation)  Earnings/(Deficits) 
Easterly Global Macro Fund  772,267         (1,848,795)  (903,529)  162,872   (1,817,185)
Easterly Global Real Estate Fund  33,267,347   161,379            (124,938,781)  (91,510,055)
Easterly Multi Strategy Alternative Income Fund  24,862   786,004            369,503   1,180,369 
Easterly Hedged Equity Fund  5,283,529      (10,729,760)  (2,010,185)  (83)  11,398,459   3,941,960 
Easterly Hedged High Income Fund        (1,704,106)  (2,392,621)     6,906   (4,089,821)

 

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income and accumulated net realized gain from security transactions are primarily attributable to the tax deferral of losses on wash sales, adjustments for a wholly owned subsidiary, mark-to-market on open forward foreign currency contracts, swap contracts and passive foreign investment companies, adjustments for real estate investment trusts, partnerships and C-Corporations adjustments. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains of $4, $1,883 and $1,704 for Easterly Global Macro Fund, Easterly Global Real Estate Fund and Easterly Multi Strategy Alternative Income Fund, respectively.

 

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds below incurred and elected to defer such capital losses as follows:

 

  Post October 
  Losses 
Easterly Global Macro Fund   
Easterly Global Real Estate Fund   
Easterly Multi Strategy Alternative Income Fund   
Easterly Hedged Equity Fund  10,729,760 
Easterly Hedged High Income Fund  1,704,106 

51

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Six Months Ended February 28, 2022 (Unaudited) (Continued)

 

6.UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES

 

Each underlying fund, including each exchange-traded fund (“ETF”), is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Fund will indirectly bear fees and expenses charged by the underlying investment companies in which the Fund invests in addition to the Fund’s direct fees and expenses.

 

The performance of the Easterly Global Macro Fund will be directly affected by the performance of the Easterly Income Opportunities Fund. The Fund seeks to provide a high level of risk-adjusted current income and capital appreciation with a secondary objective of capital appreciation. The financial statements of the Easterly Income Opportunities Fund, including the schedule of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of February 28, 2022, the percentage of net assets invested in the Easterly Income Opportunities Fund was 30.0%.

 

The performance of the Easterly Hedged Equity Fund will be directly affected by the performance of the SPDR S&P 500 ETF Trust. The Trust seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. The financial statements of the SPDR S&P 500 ETF Trust, including the schedule of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of February 28, 2022, the percentage of net assets invested in the SPDR S&P 500 ETF Trust was 88.8%.

 

7.BENEFICIAL OWNERSHIP (Unaudited)

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of the Fund under Section 2(a)(9) of the 1940 Act. As of February 28, 2022, the below entities held more than 25% of the voting securities for each of the Funds listed.

 

    National The Dennis &
  Denis Financial Britta Nayden
  Nayden Services * Gifting Trust
Easterly Global Macro Fund 27.59% 54.62% 
Easterly Multi Strategy Alternative Income Fund 59.38%  27.81%
Easterly Hedged Equity Fund  50.39% 

 

*Comprised of multiple investors and accounts

 

8.NEW REGULATORY UPDATES

 

In October 2020, the Securities and Exchange Commission (“SEC”) adopted new regulations governing the use of derivative by registered investment companies (“Rule 18f-4”). Rule 18f-4 will impose limits on the amount of derivatives a Fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. Funds will be required to comply with Rule 18f-4 by August 19,2022. It is not currently clear what impact, if any, Rule 18f-4 will have on the availability, liquidity or performance of derivatives. Management is currently evaluating the potential impact of Rule 18f-4 on the Funds. When fully implemented, Rule 18f-4 may require changes in how a Fund uses derivatives, adversely affect the Fund’s performance and increase costs related to the Funds’ use of derivatives.

 

In December 2020, the Securities and Exchange Commission (“SEC”) adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Funds will be required to comply with the rules by September 8, 2022. Management is currently assessing the potential impact of the new rules on the Funds’ financial statements.

 

9.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements other than the following. Effective March 1, 2022, pursuant to an operating expense limitation agreement between Easterly Funds LLC and the Easterly Multi Strategy Alternative Income Fund, Easterly has contractually agreed to waive all or a portion of its advisory fee and/or pay expenses of the Fund so that total annual Fund operating expenses (excluding front-end and contingent deferred sales loads, leverage, interest and tax expenses, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) for Class A, Class C, Class I, and Class R6 do not exceed 1.98%, 2.73%, 1.73%, and 1.48%, respectively. The expense limitation agreement for Class A, Class C, Class I, and Class R6 shares will be in effect through March 19, 2023.

52

 

SUPPLEMENTAL INFORMATION (Unaudited)

 

Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses. The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.

 

This example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from September 1, 2021, through February 28, 2022.

 

Actual Expenses: The first table provides information about actual account values and actual expenses. The shareholder may use the information in this line, together with the amount invested, to estimate the expenses that would be paid over the period. Simply divide account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid” to estimate the expenses paid on the account during the period.

 

  Beginning Account  Ending Account  Expense Paid  Expense Ratio
  Value - 9/1/2021  Value - 2/28/2022  09/1/2021-2/28/2022*  [Annualized]
Actual Expenses:           
Easterly Global Macro Fund - Class I $1,000.00  $966.80  $7.22  1.48%
Easterly Global Macro Fund - Class R6 $1,000.00  $969.30  $4.80  0.98%
Easterly Global Real Estate Investments Fund - Class A $1,000.00  $974.60  $6.57  1.34%
Easterly Global Real Estate Investments Fund - Class C $1,000.00  $971.40  $10.23  2.09%
Easterly Global Real Estate Investments Fund - Class I $1,000.00  $976.00  $5.10  1.04%
Easterly Global Real Estate Investments Fund - Class R6 $1,000.00  $976.80  $4.61  0.94%
Easterly Multi Strategy Alternative Income Fund - Class A $1,000.00  $934.00  $10.69  2.23%
Easterly Multi Strategy Alternative Income Fund - Class C $1,000.00  $930.50  $14.17  2.96%
Easterly Multi Strategy Alternative Income Fund - Class I $1,000.00  $936.30  $9.51  1.98%
Easterly Multi Strategy Alternative Income Fund - Class R6 $1,000.00  $938.50  $7.09  1.48%
Easterly Hedged Equity Fund - Class A $1,000.00  $992.30  $7.52  1.52%
Easterly Hedged Equity Fund - Class C $1,000.00  $989.50  $11.22  2.27%
Easterly Hedged Equity Fund - Class I $1,000.00  $994.10  $6.28  1.27%
Easterly Hedged Equity Fund - Class R6 $1,000.00  $995.10  $4.98  1.01%

53

 

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

 

Hypothetical Examples for Comparison Purposes: The second table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period. This information may be used to compare the ongoing costs of investing in the fund and other mutual funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.

 

  Beginning Account  Ending Account  Expense Paid  Expense Ratio
Hypothetical
[5% Return Before Expenses]
 Value - 9/1/2021  Value - 2/28/2022  09/1/2021-2/28/2022*  [Annualized]
Easterly Global Macro Fund - Class I $1,000.00  $1,017.46  $7.40  1.48%
Easterly Global Macro Fund - Class R6 $1,000.00  $1,019.92  $4.92  0.98%
Easterly Global Real Estate Investments Fund - Class A $1,000.00  $1,018.14  $6.71  1.34%
Easterly Global Real Estate Investments Fund - Class C $1,000.00  $1,014.42  $10.45  2.09%
Easterly Global Real Estate Investments Fund - Class I $1,000.00  $1,019.63  $5.21  1.04%
Easterly Global Real Estate Investments Fund - Class R6 $1,000.00  $1,020.13  $4.71  0.94%
Easterly Multi Strategy Alternative Income Fund - Class A $1,000.00  $1,013.74  $11.13  2.23%
Easterly Multi Strategy Alternative Income Fund - Class C $1,000.00  $1,010.12  $14.75  2.96%
Easterly Multi Strategy Alternative Income Fund - Class I $1,000.00  $1,014.98  $9.89  1.98%
Easterly Multi Strategy Alternative Income Fund - Class R6 $1,000.00  $1,017.48  $7.38  1.48%
Easterly Hedged Equity Fund - Class A $1,000.00  $1,017.24  $7.62  1.52%
Easterly Hedged Equity Fund - Class C $1,000.00  $1,013.52  $11.36  2.27%
Easterly Hedged Equity Fund - Class I $1,000.00  $1,018.50  $6.35  1.27%
Easterly Hedged Equity Fund - Class R6 $1,000.00  $1,019.81  $5.04  1.01%

 

*Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the days in reporting period).

54

 

PRIVACY NOTICE

 

JAMES ALPHA FUNDS TRUST

 

March 2021

 

FACTSWHAT DOES JAMES ALPHA FUNDS TRUST DO WITH YOUR PERSONAL INFORMATION?
  
Why?Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
  
What?

The types of personal information we collect and share depends on the product or service that you have with us. This information can include:

 

●    Social Security number and wire transfer instructions   

 

●    account transactions and transaction history   

 

●    investment experience and purchase history

 

When you are no longer our customer, we continue to share your information as described in this notice.

  
How?All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons James Alpha Funds Trust chooses to share; and whether you can limit this sharing.
  
Reasons we can share your personal
information:
Does James Alpha Funds Trust
share information?
Can you limit
this sharing?

For our everyday business purposes -

such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.

YESNO

For our marketing purposes -

to offer our products and services to you.

YESYES
For joint marketing with other financial companies.NOWe don’t share

For our affiliates’ everyday business purposes -

information about your transactions and records.

NOWe don’t share

For our affiliates’ everyday business purposes -

information about your credit worthiness.

NOWe don’t share
For nonaffiliates to market to youNOWe don’t share
   
QUESTIONS?Call (888) 814-8180  

55

 

What we do:
How does James Alpha Funds Trust
protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.

How does James Alpha Funds Trust
collect my personal information?

We collect your personal information, for example, when you

 

●    open an account or deposit money

 

●    direct us to buy securities or direct us to sell your securities

 

●    seek advice about your investments

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

 

●    sharing for affiliates’ everyday business purposes – information about your creditworthiness.

 

●    affiliates from using your information to market to you.

 

●    sharing for nonaffiliates to market to you.

 

State laws and individual companies may give you additional rights to limit sharing.

 
Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

   James Alpha Funds Trust does not share with our affiliates.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

   James Alpha Funds Trust does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

   James Alpha Funds Trust doesn’t jointly market.

56

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

How to Obtain Proxy Voting Information

 

Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-833-999-2636 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

 

Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.

 

Easterly Funds-SAR22

 

 

Item 2. Code of Ethics. Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert. Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services. Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. See Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None.

 

Item 11. Controls and Procedures.

 

(a)       Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)       Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-Ended Management Investment Companies.

 

Not applicable

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certification(s) required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable.

 

(b) Certification(s) required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)                James Alpha Funds Trust

 

By (Signature and Title)  
*/s/ Darrell Crate 
 Darrell Crate, President and Chief Executive Officer 

 

Date 5/5/22 

  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title) 
*/s/ Michael Montague 
 Michael Montague, Treasurer and Principal Financial Officer 

 

Date 5/5/22 

  

By (Signature and Title) 
*/s/ Darrell Crate 
 Darrell Crate, President and Chief Executive Officer 

 

Date 5/5/22 

   

*Print the name and title of each signing officer under his or her signature.